假定中间市场价格的变化服从正态分布，每天变化 标准差为s
qi为在第i天的交易量并且xi为第i天末交易员的头寸 (xi = xi-1−qi)
交易员的目标是选择qi，使得下式最小
n i 1
Hale Waihona Puke 2xi2n i 1
1 2
qi
p(qi
)
8
例21.3
假定某交易员在5天内想将1亿单位的某资 产 头寸进行平仓
Offer Price Bid Price
Quantity
4
买入卖出差价
买入卖出差价的货币价值, p 卖出价 买入价
买入卖出差价比率, s
卖出价 买入价 市场中间价
正常市场条件下的平仓费用
n
i 1
1 2
siαi
式中，n为头寸的总数量,si 为某金融机构持有的第i个产品的买卖价差比率, i 为第i个产品相应头寸的货币价值.
Leverage of investors decreases 18
The Deleveraging Cycle (Figure 21.3)
Investors required to reduce leverage They do this is by selling assets Asset prices decline
p(q) = a+becq 式中 a = 0.1, b = 0.05, 及 c = 0.03
s = 0.1 当置信区间设定为95%，每天交易量分别为
48.9, 30.0, 14.1, 5.1, 及1.9
9
Liquidity Funding Risk
Sources of liquidity
Liquid assets Ability to liquidate trading positions Wholesale and retail deposits Lines of credit and the ability to borrow at short
