论文标题
最佳均值交易策略的封闭式解决方案
A closed-form solution for optimal mean-reverting trading strategies
论文作者
论文摘要
当价格反映所有可用信息时，它们会在平衡水平上振荡。这种振荡是由买卖双方浪潮造成的临时市场影响的结果。可以通过Ornstein-Uhlenbeck（O-U）过程近似这种价格行为。 做市商提供流动性，以试图通过这种振荡获利。当安全性低于其估计的平衡水平时，他们进入较长的位置，当安全性的价格高于其估计的平衡水平时，它们就进入了一个较短的位置。他们担任该职位，直到发生三个结果之一：（1）他们实现了目标利润； （2）他们经历了最大的容忍损失； （3）位置保持在最大耐受范围之外。 所有做市商都面临定义获利和停止水平的问题。更一般而言，所有代表客户行动的执行交易者都必须在必须履行订单的级别上确定。这些最佳水平可以通过通过蒙特卡洛实验在O-U过程中最大化交易者的Sharpe比率来确定。本文开发了一个分析框架，并使用热电位方法得出了这些最佳水平。
When prices reflect all available information, they oscillate around an equilibrium level. This oscillation is the result of the temporary market impact caused by waves of buyers and sellers. This price behavior can be approximated through an Ornstein-Uhlenbeck (O-U) process. Market makers provide liquidity in an attempt to monetize this oscillation. They enter a long position when a security is priced below its estimated equilibrium level, and they enter a short position when a security is priced above its estimated equilibrium level. They hold that position until one of three outcomes occur: (1) they achieve the targeted profit; (2) they experience a maximum tolerated loss; (3) the position is held beyond a maximum tolerated horizon. All market makers are confronted with the problem of defining profit-taking and stop-out levels. More generally, all execution traders acting on behalf of a client must determine at what levels an order must be fulfilled. Those optimal levels can be determined by maximizing the trader's Sharpe ratio in the context of O-U processes via Monte Carlo experiments. This paper develops an analytical framework and derives those optimal levels by using the method of heat potentials.
