跳至正文
返回文库全部文档

反应速度与紧迫程度如何影响自动化交易者

文章 arXiv papers · 作者: Henry Hanifan et al.
阅读原文

总结

该研究考察反应速度和交易紧迫程度如何影响模拟市场中的自动化策略。模拟市场包含一家交易所、一个公开限价订单簿和连续双向拍卖撮合。反应速度指策略针对市场事件计算响应所需的时间；紧迫程度描述临近截止时间时策略行为变化的幅度。这些维度扩展了常见分析：此类分析通常比较定价策略，却忽略时间因素。

在模拟中，纳入反应速度后，先前的比较结果发生变化：简单的SHVR策略可能胜过更复杂的自适应算法AA。为ZIP交易者加入速度参数，形成ZIPP变体，会使策略对截止时间更加敏感，并显著提升报告设定下的盈利能力。这些发现针对所述模拟市场，本身并不能证明相同的排名或收益在实盘市场或其他交易所条件下也成立。

核心观点

  • 自动化交易表现取决于策略处理市场事件的速度。
  • 紧迫程度反映策略行为如何随截止时间临近而变化。
  • 将反应速度纳入考量，可能改变不同交易算法的相对表现。
  • 在模拟中，SHVR可能胜过AA，而速度参数能提升ZIP交易者的盈利能力。

标签

市场微观结构交易执行高频交易
全文
# Time Matters: Exploring the Effects of Urgency and Reaction Speed in Automated Traders


# Time Matters: Exploring the Effects of Urgency and Reaction Speed in Automated Traders









We consider issues of time in automated trading strategies in simulated financial markets containing a single exchange with public limit order book and continuous double auction matching. In particular, we explore two effects: (i) reaction speed - the time taken for trading strategies to calculate a response to market events; and (ii) trading urgency - the sensitivity of trading strategies to approaching deadlines. Much of the literature on trading agents focuses on optimising pricing strategies only and ignores the effects of time, while real-world markets continue to experience a race to zero latency, as automated trading systems compete to quickly access information and act in the market ahead of others. We demonstrate that modelling reaction speed can significantly alter previously published results, with simple strategies such as SHVR outperforming more complex adaptive algorithms such as AA. We also show that adding a pace parameter to ZIP traders (ZIP-Pace, or ZIPP) can create a sense of urgency that significantly improves profitability.

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。