在不知情的仲裁员在场的情况下的战略执行
Strategic Execution in the Presence of an Uninformed Arbitrageur
摘要：
我们考虑一个交易者，他的目标是在一个希望从交易者的活动中获利的仲裁员在场的情况下清算一个大头寸。仲裁员不确定交易者的头寸，并从观察到的价格波动中学习。这是一个信息不对称的动态博弈。我们提出了一个算法计算完美的贝叶斯平衡行为，并进行数值实验。我们的研究结果表明，交易者的策略显着不同的仲裁员的情况下，将是最佳的。特别是，交易者必须平衡最小化价格影响和最小化通过交易发出的信息这两个相互冲突的愿望。考虑到信息信号和战略对手的存在可以大大降低执行成本。
英文摘要：
We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur is uncertain about the trader's position and learns from observed price fluctuations. This is a dynamic game with asymmetric information. We present an algorithm for computing perfect Bayesian equilibrium behavior and conduct numerical experiments. Our results demonstrate that the trader's strategy differs significantly from one that would be optimal in the absence of the arbitrageur. In particular, the trader must balance the conflicting desires of minimizing price impact and minimizing information that is signaled through trading. Accounting for information signaling and the presence of strategic adversaries can greatly reduce execution costs.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
