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用随机订单流建模集合竞价出清价格

文章 arXiv papers · 作者: M. Derksen et al.
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总结

本研究将买卖订单视为从估值分布中随机抽取，以此建模标准集合竞价中的价格形成。均衡条件给出了出清价格和成交量的分布。买卖盘量仍作为灵活参数，使模型能够表示偏斜或重尾的订单流。在高流动性下，出清价格趋近正态分布，其均值和方差取决于估值和订单流失衡。

模拟考察了高成交量和低成交量竞价中，估值与订单流变化对价格、成交量和价格方差的影响。为进行实证评估，作者预测了一年内五只 Eurostoxx 50 成分股的每日收盘价分布。Kolmogorov-Smirnov 统计量和 QQ 图支持模型拟合效果，并显示其相较其他预测方法具有优势。报告的证据仅限于这些股票和所述期间；摘录并未证明模型在其他市场或竞价环境中的表现。

核心观点

  • 使用独立的需求和供给估值分布对随机买卖订单建模。
  • 均衡条件给出竞价出清价格和成交量的分布。
  • 模型允许买卖盘量灵活变化，以表示失衡或重尾订单流。
  • 在高流动性下，出清价格趋近正态分布。
  • 对五只 Eurostoxx 50 成分股的测试使用分布诊断方法，并与其他方法进行比较。

标签

股票市场微观结构统计学回测
全文
# Clearing price distributions in call auctions


# Clearing price distributions in call auctions









We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers random buy and sell orders, placed following demand- and supply-side valuation distributions; an equilibrium equation then leads to a distribution for clearing price and transacted volume. Bid and ask volumes are left as free parameters, permitting possibly heavy-tailed or very skewed order flow conditions. In highly liquid auctions, the clearing price distribution converges to an asymptotically normal central limit, with mean and variance in terms of supply/demand-valuation distributions and order flow imbalance. By means of simulations, we illustrate the influence of variations in order flow and valuation distributions on price/volume, noting a distinction between high- and low-volume auction price variance. To verify the validity of the model statistically, we predict a year's worth of daily closing price distributions for 5 constituents of the Eurostoxx 50 index; Kolmogorov-Smirnov statistics and QQ-plots demonstrate with ample statistical significance that the model predicts closing price distributions accurately, and compares favourably with alternative methods of prediction.

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。