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延迟排名如何影响订单簿失衡交易收益

文章 arXiv papers · 作者: David Byrd et al.
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总结

该研究考察访问速度是否会影响高频订单簿失衡（OBI）交易的盈利能力。由于历史数据通常不会披露交易者身份或所在地，作者使用单一交易所连续双向拍卖的基于智能体离散事件模拟。他们在模拟中加入OBI交易者，并在多个模拟交易日内改变其与交易所的距离，也就是延迟。

实验发现，随着延迟增加，OBI交易者的利润往往会下降。实验还表明，对于采用类似策略的智能体之间如何分配收益，交易者的相对延迟排名比延迟绝对值本身更重要。该结果提供了一种研究难以从市场数据中单独识别的问题的方法，但它来自受控模拟。其含义可能取决于模型中的智能体、交易所结构和交易环境，因此这些发现不能确定延迟在所有实盘市场中对利润的影响程度。

核心观点

  • 研究使用基于智能体的模拟，考察难以从历史数据中识别的延迟影响。
  • 研究在单一交易所的连续双向拍卖中测试订单簿失衡交易者。
  • 模拟利润会随着交易者延迟增加而下降。
  • 在类似交易者之间分配收益时，相对延迟排名似乎比延迟绝对值更重要。

标签

高频交易市场微观结构交易执行回测
全文
# The Importance of Low Latency to Order Book Imbalance Trading Strategies


# The Importance of Low Latency to Order Book Imbalance Trading Strategies









There is a pervasive assumption that low latency access to an exchange is a key factor in the profitability of many high-frequency trading strategies. This belief is evidenced by the "arms race" undertaken by certain financial firms to co-locate with exchange servers. To the best of our knowledge, our study is the first to validate and quantify this assumption in a continuous double auction market with a single exchange similar to the New York Stock Exchange. It is not feasible to conduct this exploration with historical data in which trader identity and location are not reported. Accordingly, we investigate the relationship between latency of access to order book information and profitability of trading strategies exploiting that information with an agent-based interactive discrete event simulation in which thousands of agents pursue archetypal trading strategies. We introduce experimental traders pursuing a low-latency order book imbalance (OBI) strategy in a controlled manner across thousands of simulated trading days, and analyze OBI trader profit while varying distance (latency) from the exchange. Our experiments support that latency is inversely related to profit for the OBI traders, but more interestingly show that latency rank, rather than absolute magnitude, is the key factor in allocating returns among agents pursuing a similar strategy.

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。