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过滤订单流以增强BankNifty期货的OBI信号

文章 arXiv papers · 作者: Aditya Nittur Anantha et al.
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总结

本文考察按订单存续时间、修改次数及修改发生时点过滤订单后，订单簿失衡（OBI）能否更好地反映近期收益。文章使用印度股指期货市场的逐笔数据，比较来自完整订单流的信号与基于已成交交易母订单构建的信号。

文章通过同期相关性、离散状态下的线性关联，以及事件时间中的霍克斯模型激发效应来评估这种关系。对总体订单流进行过滤，与未经筛选的OBI相比差异不大；而对已成交交易的母订单进行过滤，则会产生持续更强的方向性关联。分析将这种关联视为与市场质量和潜在监管相关的诊断指标。研究并未证明过滤后的信号具有盈利性或因果性，也未证明其可推广到所研究市场和短期范围之外。

核心观点

  • 研究评估OBI能否作为期货短期收益的方向指标。
  • 订单存续时间和修改模式提供了过滤订单流的结构性标准。
  • 分析比较总体订单流与关联到已成交交易的母订单。
  • 研究通过三种诊断方法考察相关性、状态层面的关联和事件时间激发效应。
  • 过滤总体订单流的影响不大，而过滤已成交交易的母订单会增强方向性关联。
  • 结果属于观察性发现，未证明盈利性或因果影响。

标签

期货市场微观结构统计学高频交易
全文
# Order-Flow Filtration and Directional Association with Short-Horizon Returns


# Order-Flow Filtration and Directional Association with Short-Horizon Returns









Electronic markets generate dense order flow with many transient orders, which degrade directional signals derived from the limit order book (LOB). We study whether simple structural filters on order lifetime, modification count, and modification timing sharpen the association between order book imbalance (OBI) and short-horizon returns in BankNifty index futures, where unfiltered OBI is already known to be a strong short-horizon directional indicator. The efficacy of each filter is evaluated using a three-step diagnostic ladder: contemporaneous correlations, linear association between discretised regimes, and Hawkes event-time excitation between OBI and return regimes. Our results indicate that filtration of the aggregate order flow produces only modest changes relative to the unfiltered benchmark. By contrast, when filters are applied on the parent orders of executed trades, the resulting OBI series exhibits systematically stronger directional association. Motivated by recent regulatory initiatives to curb noisy order flow, we treat the association between OBI and short-horizon returns as a policy-relevant diagnostic of market quality. We then compare unfiltered and filtered OBI series, using tick-by-tick data from the National Stock Exchange of India, to infer how structural filters on the order flow affect OBI-return dynamics in an emerging market setting.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。