论文题目：Market or limit orders?
论文摘要：In this paper we investigate the problem of optimal order placement of an asset listed on an exchange using both market and limit orders in a simple model of market dynamics. We seek to understand under which settings it is optimal to place limit or market orders. Limit orders typically lower transaction costs but increase the risk of incomplete order execution, whereas market orders typically have higher transaction costs but are guaranteed to be executed. Rather than considering order book dynamics to determine if a limit order is executed we rely on price dynamics for this. We look at implementation shortfall in this setup with market impact of trading and propose a dynamic program to find the optimal placement of both market and limit orders for risk-neutral and risk-averse traders. With this we find a bound on the expected cost of trading and show that a trader who behaves optimally should always expect to pay less to trade less. We then solve the dynamic program numerically and examine optimal order placement strategies. We find that the decision between market and limit orders is sensitive to price volatility, risk aversion, and trading costs.
报告人简介：陈靖楠，北京航空航天大学经济管理学院金融学副教授。在此之前，她任新加坡科技设计大学助理教授。她博士毕业于伊利诺伊大学香槟分校。她的主要研究兴趣是量化投资和风险管理，并在Operations Research, European Journal of Operational Research, Quantitative Finance, Annals of Operations Research等期刊上发表文章。