论文标题
持续订单流量的最佳市场创作
Optimal market making with persistent order flow
论文作者
论文摘要
\ noindent我们考虑到市场秩序流的集群和长期内存属性时，我们解决了电子市场上的市场制造问题。我们考虑一个市场模式，其中一个做市商和由霍克斯将军流程驱动的秩序流量。我们将做市商的目标提出为随机控制问题。我们通过证明与相关的汉密尔顿 - 雅各比 - 贝尔曼方程的粘度解决方案证明存在和唯一性来表征最佳控制。最后，我们提出了一种完全一致的数值方法，允许在实践中实施此最佳策略。
\noindent We address the issue of market making on electronic markets when taking into account the clustering and long memory properties of market order flows. We consider a market model with one market maker and order flows driven by general Hawkes processes. We formulate the market maker's objective as a stochastic control problem. We characterize an optimal control by proving existence and uniqueness of a viscosity solution to the associated Hamilton-Jacobi-Bellman equation. Finally we propose a fully consistent numerical method allowing to implement this optimal strategy in practice.
