中文摘要：

通过放松理想化市场的假设条件，构建流动性调整的最优交易策略模型，并证明了交易策略在任意初始持仓、不同行情时的性质．研究表明在行情看涨时，若初始持仓过量则应采取“U型”卖出策略；若初始持仓适量，则应采取“递增型”卖出策略；若初始持仓为较少的多头或空头，则应采取先“递增型”买入，而后“递增型”卖出的策略；若逆市持有过量的空头，则应采取“递增型”买入策略．行情看跌情形则与看涨情形具有完全相反的结果．若行情看平，则应采取“递减型”卖出或“递增型”买入策略．本文最后分析了流动性对最优交易策略的影响．

英文摘要：

By relaxing the hypothesis of Idealized Market, this paper presents the model ofLiquidity-adjisted optimal trading strategy, and proves the characteristic about optimal tradingstrategies under the condition c f different market and optional initial holding. The researchindicates that when the market is bullish, traders vrould take U-shaped selling strategy while initialholding is excessive. Incremental buying strategy may be adopted for appropriate optimal initialholding. If initial holding amount is less at either long or short position, or timal trading strategy isthat first incremental buying, and then incremental selling. When traders hold excessive a-mount atshort position against bullish market, they would take incremental buying strategy. However, theor timal strategies in bearish market address reverse outcomes that in bullish market. If market isneutral, the or timalstrategy is degressive selling or incremental buying strategy. Lastly, this paperanalyses how liquidity affects optimal trading strategy.