交易外汇三胞胎
Trading Foreign Exchange Triplets
摘要：
我们为外汇（FX）经纪商开发了最佳交易策略，该经纪商必须清算非流动性货币对的大量头寸。为了最大限度地提高收入，经纪商考虑交易货币三元组，其中包括非流动货币对和其他两个流动货币对。选择三元组中的液体对，使得其中一对是冗余的。经纪人是风险中性的，并考虑到外汇汇率中的模型模糊性，使其策略对模型错误说明具有鲁棒性。当经纪人是模糊中性（厌恶）的交易策略在每一对是独立的（依赖）的库存在其他两对的三元组。我们采用模拟来说明如何强大的策略执行。在一定的模糊性厌恶参数范围内，我们发现随着模糊性厌恶的增加，策略的平均损益（P &L）增加，标准差减小。
英文摘要：
We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair. To maximize revenues, the broker considers trading in a currency triplet which consists of the illiquid pair and two other liquid currency pairs. The liquid pairs in the triplet are chosen so that one of the pairs is redundant. The broker is risk-neutral and accounts for model ambiguity in the FX rates to make her strategy robust to model misspecification. When the broker is ambiguity neutral (averse) the trading strategy in each pair is independent (dependent) of the inventory in the other two pairs in the triplet. We employ simulations to illustrate how the robust strategies perform. For a range of ambiguity aversion parameters, we find the mean Profit and Loss (P&L) of the strategy increases and the standard deviation of the P&L decreases as ambiguity aversion increases.
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。
