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交易到达如何影响高频收益分布

文章 arXiv papers · 作者: Eric M. Aldrich et al.
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总结

该论文通过区分每笔交易的价格变化与交易到达时间的生成过程，来建模高频股票收益。对于流动性极高的近月 E-mini S&P 500 期货合约，研究报告称，在考虑预定公布的新闻后，极短时间间隔内的交易时间收益近似服从高斯分布。随后，论文将高斯交易时间收益与经过修改的马尔可夫切换多重分形持续期模型结合，用于刻画交易间隔。

模型将钟表时间收益中观察到的厚尾和波动聚集归因于交易持续时间的过度离散，即使单笔交易的交易时收益服从高斯分布也是如此。作者还外推交易速率与波动率之间的关系，以研究市场压力。他们认为，芝加哥与纽约／新泽西之间的实际距离可能为系统性波动率设定上限，并在交易量异常庞大时支持市场稳定。这些发现仅适用于所研究的合约和模型假设；提出的地理限制是一种推论，并非对市场行为的普遍保证。

核心观点

  • 将交易时收益与交易到达过程分开，有助于解释高频收益模式。
  • 据报告，在控制预定新闻后，所研究期货合约的交易时收益在极短时间尺度上近似服从高斯分布。
  • 多重分形持续时间模型刻画了交易间隔的分布。
  • 交易到达过度离散可能使钟表时间收益呈现厚尾和波动聚集。
  • 作者提出，主要交易中心之间的实际距离可能限制系统性波动率。

标签

期货高频交易统计学波动率市场微观结构
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# The Random Walk of High Frequency Trading


# The Random Walk of High Frequency Trading









This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in trade time. We show that when controlling for pre-scheduled market news events, trade-time returns of the highly liquid near-month E-mini S&P 500 futures contract are well characterized by a Gaussian distribution at very fine time scales. Second, we develop a structured and parsimonious model of clock-time returns by subordinating a trade-time Gaussian distribution with a trade arrival process that is associated with a modified Markov-Switching Multifractal Duration (MSMD) model. This model provides an excellent characterization of high-frequency inter-trade durations. Over-dispersion in this distribution of inter-trade durations leads to leptokurtosis and volatility clustering in clock-time returns, even when trade-time returns are Gaussian. Finally, we use our model to extrapolate the empirical relationship between trade rate and volatility in an effort to understand conditions of market failure. Our model suggests that the 1,200 km physical separation of financial markets in Chicago and New York/New Jersey provides a natural ceiling on systemic volatility and may contribute to market stability during periods of extremely heavy trading.

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。