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考虑成交概率与逆向选择的做市模拟

文章 arXiv papers · 作者: Luca Lalor et al.
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总结

本文考察成交可能性和逆向选择如何影响短期做市策略的模拟。研究使用随机最优控制策略，覆盖流动性较高的CME期货，包括股指、原油和美国国债合约。核心结论是，关于限价单是否成交及成交前后价格如何变化的模拟假设，可能显著改变预估表现。

作者报告的实证证据表明，更真实地建模成交并更仔细地跟踪不利成交，可以得到更可信的绩效评估。他们提醒，如果模拟价格变动时不考虑市场订单，可能会高估短周期策略表现。摘要未提供具体成交模型、量化绩效比较或详细实验设置，因此只能支持一般性的模拟结论，无法精确估计偏差。

核心观点

  • 成交概率会显著影响做市策略的模拟表现。
  • 策略模拟应跟踪不利成交。
  • 将价格变动与市场订单分开模拟，可能会夸大短期策略表现。
  • 研究在多个流动性较高的期货合约上评估随机最优控制方法。

标签

期货做市回测市场微观结构
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# Market Simulation under Adverse Selection


# Market Simulation under Adverse Selection









In this paper, we study the effects of fill probabilities and adverse fills on the trading strategy simulation process. We specifically focus on a stochastic optimal control market-making problem and test the strategy on ES (E-mini S\&P 500), NQ (E-mini Nasdaq 100), CL (Crude Oil) and ZN (10-Year Treasury Note), which are some of the most liquid futures contracts listed on the CME (Chicago Mercantile Exchange). We provide empirical evidence that shows how fill probabilities and adverse fills can significantly affect performance and propose a more prudent simulation framework to deal with this. Many previous works aim to measure different types of adverse selection in the limit order book (LOB), however, they often simulate price processes and market orders independently. This has the ability to largely inflate the performance of a short-term style trading strategy. Our studies show that using more realistic fill probabilities and tracking adverse fills in the strategy simulation process more accurately shows how these types of trading strategies would perform in reality.

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。