AI 中文总结
该研究构建含被动市场冲击的最优执行介观模型，通过经验可观测指标推导被动冲击率，求解最优清算问题并校准，还分析了模型扩展情况。
AI 中文摘要
我们推导了一种结合被动价格冲击微观结构特征的限价单最优执行介观模型。该框架基于两个经验可观测指标：限价单成交概率随中间价距离呈近似指数衰减，以及价格变化对订单流失衡的短期线性响应。结合这些要素，我们得到了随报价距离指数衰减的简化形式被动冲击率。该模型在战术层面描述被动执行，成交源于一系列报价调整，这些调整在执行概率、逆向选择和机会成本间取得平衡。我们构建并求解了最优清算问题，其中交易者控制被动卖单报价的激进程度，这在更高的成交强度与更大的累积冲击、更低的冲击与更大的未执行风险之间形成权衡。使用纳斯达克股票和公开外汇数据进行的经验校准支持了模型的经验基础，我们还分析了含异质衰减率、瞬时冲击和目标执行时间表的扩展情况。
英文摘要
We derive a mesoscopic model for optimal execution with limit orders that incorporates microstructural features of passive price impact. Our framework is based on two empirical observables: the approximately exponential decay of limit-order fill probabilities with distance from the midprice, and the short-term linear response of price changes to order flow imbalance. Combining these ingredients, we obtain a reduced-form passive impact rate that decays exponentially with quote distance. The model describes passive execution at a tactical level, where fills arise from a sequence of quote adjustments that balance execution probability, adverse selection, and opportunity cost. We formulate and solve an optimal liquidation problem in which the trader controls the aggressiveness of passive sell quotes. This generates a trade-off between higher fill intensity and larger accumulated impact on the one hand, and lower impact but greater non-execution risk on the other. Empirical calibration using NASDAQ equities and public FX supports the empirical foundations of the model. We also analyse extensions with heterogeneous decay rates, transient impact, and target execution schedules.
