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中尺度下的限价订单流与订单簿韧性

文章 arXiv papers · 作者: Kyle Bechler et al.
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总结

本研究分析订单流和限价订单簿结构如何影响中尺度上的价格形成；这一时间尺度与执行调度有关。研究将逐笔数据按成交量分组，并考察市价单和限价单提交情况，以及订单簿深度和形状等指标。实证样本涵盖六种高最小变动价位的纳斯达克资产。

研究发现，交易失衡与价格变化之间存在非线性关系，而市价订单流与限价订单流的加权组合则与价格变化呈线性关系。交易失衡与单边限价订单流之间也呈现曲棍球杆形关系，表明主动交易与被动交易存在不对称性。研究使用统计模型评估价格形成、流动性和韧性的可预测性；在该时间尺度上，限价订单流以及相对新增或撤单率提供的信息最多。订单簿更深层的结构比单独的失衡更有信息量。这些发现仅适用于所分析的资产和时间尺度；本文未描述可部署的执行策略，也未报告样本外交易结果。

核心观点

  • 分析将逐笔数据按成交量分组，以研究中尺度动态。
  • 市价订单流与限价订单流的加权组合使其与价格变化的关系呈线性。
  • 交易失衡与单边限价订单流之间存在不对称的曲棍球杆形关系。
  • 在该研究中，限价订单流以及相对新增或撤单率的预测能力最强。
  • 在这一时间尺度上，订单簿更深层的形态比单独的订单簿失衡更有信息量。

标签

股票市场微观结构交易执行统计学
全文
# Order Flows and Limit Order Book Resiliency on the Meso-Scale


# Order Flows and Limit Order Book Resiliency on the Meso-Scale









We investigate the behavior of limit order books on the meso-scale motivated by order execution scheduling algorithms. To do so we carry out empirical analysis of the order flows from market and limit order submissions, aggregated from tick-by-tick data via volume-based bucketing, as well as various LOB depth and shape metrics. We document a nonlinear relationship between trade imbalance and price change, which however can be converted into a linear link by considering a weighted average of market and limit order flows. We also document a hockey-stick dependence between trade imbalance and one-sided limit order flows, highlighting numerous asymmetric effects between the active and passive sides of the LOB. To address the phenomenological features of price formation, book resilience, and scarce liquidity we apply a variety of statistical models to test for predictive power of different predictors. We show that on the meso-scale the limit order flows (as well as the relative addition/cancellation rates) carry the most predictive power. Another finding is that the deeper LOB shape, rather than just the book imbalance, is more relevant on this timescale. The empirical results are based on analysis of six large-tick assets from Nasdaq.

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。