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不同交易规则如何影响订单簿与价格变动

文章 arXiv papers · 作者: Carl Chiarella et al.
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总结

本文建立订单驱动市场模型，其中交易者按照固定规则提交市价单和限价单。每位交易者根据基本面信息、图表信号和噪声形成收益预期；交易者在投资期限、风险厌恶程度及这些输入的权重方面各不相同。订单规模由效用最大化决定，因此提交的数量会随交易者不断变化的市场决策而调整，而非假定所有订单都采用相同的机械规则。

作者考察这些策略对模拟价格和订单流的影响。据报告，在该模型中，图表交易者行为是厚尾收益和波动率聚集的主要来源，大幅价格变动则与订单簿中的显著空档相关。这些结果来自人工市场，并不能直接证明所有实盘交易场所都如此。摘要没有提供校准细节或实证验证，因此应将这些发现视为关于异质规则与订单簿结构如何相互作用的模型证据。

核心观点

  • 模型结合基本面、图表交易和噪声驱动的收益预期，并纳入异质交易者。
  • 效用最大化决定订单的提交方式和规模。
  • 在模拟市场中，图表交易策略是厚尾现象和波动率聚集的主要成因。
  • 模拟中的大幅价格变动与限价订单簿中的空档相关。
  • 这些发现基于模型，摘要未报告实盘市场验证。

标签

市场微观结构统计学
全文
# The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows


# The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows









In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components to the expectation of future asset returns, namely-fundamentalist, chartist and noise trader. Furthermore agents differ in the characteristics describing these components, such as time horizon, risk aversion and the weights given to the various components. The model developed here extends a great deal of earlier literature in that the order submissions of agents are determined by utility maximisation, rather than the mechanical unit order size that is commonly assumed. In this way the order flow is better related to the ongoing evolution of the market. For the given market structure we analyze the impact of the three components of the trading strategies on the statistical properties of prices and order flows and observe that it is the chartist strategy that is mainly responsible of the fat tails and clustering in the artificial price data generated by the model. The paper provides further evidence that large price changes are likely to be generated by the presence of large gaps in the book.

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。