论文标题
最佳交易而无需最佳控制
Optimal trading without optimal control
论文作者
论文摘要
只要该代理使用矢量$ p = \ nabla v（t，x）$作为有效的微观结构alpha，v bellman值是贝尔曼（V）是贝尔曼（V）是贝尔曼（V）是问题的平稳性功能，那么一种假设风险中立的代理商以最大化下一次交易的预期利润将大致表现出长期最佳行为。有效的微观结构alpha是V的最陡峭的V.，等于双重汉密尔顿公式中的广义动量。这种简单的启发式方法具有广泛的实际含义。实际上，我们的方法可以治疗大多数需要通过离散限制订购书市场实施的实用性最大化问题。
A hypothetical risk-neutral agent who trades to maximize the expected profit of the next trade will approximately exhibit long-term optimal behavior as long as this agent uses the vector $p = \nabla V (t, x)$ as effective microstructure alphas, where V is the Bellman value function for a smooth relaxation of the problem. Effective microstructure alphas are the steepest-ascent direction of V , equal to the generalized momenta in a dual Hamiltonian formulation. This simple heuristics has wide-ranging practical implications; indeed, most utility-maximization problems that require implementation via discrete limit-order-book markets can be treated by our method.
