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订单流失衡与CSI300期货价格响应建模

文章 arXiv papers · 作者: Chen Hu et al.
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总结

这项研究对订单流失衡与CSI300指数期货价格动态之间的关系进行建模。研究将失衡视为市场冲击，并用由跳跃型 Lévy 过程驱动的均值回归 Ornstein–Uhlenbeck 过程表示其影响，而非采用常见的 Hawkes 过程方法。作者在几何布朗运动价格模型中用这一随机过程替换漂移项，推导对数收益及其均值和方差的方程，并研究一种基于失衡达到触发水平时进行交易的响应比率。

研究报告称，失衡与传统指标之间的关系会随预测期限而变化，失衡的记忆性和预测能力则取决于市场状态。作者建议利用这些模式筛选现有指标，并预先评估新指标。本文没有提供数值估计、样本细节或样本外表现数据，因此支持的是一种建模框架和定性结论，而非可直接评估的交易结果。

核心观点

  • 模型将订单流失衡视为具有均值回归记忆和跳跃驱动动态的冲击。
  • 提出的价格模型以 Ornstein–Uhlenbeck 过程替代常见几何布朗运动模型中的漂移项。
  • 研究在给定边界条件下推导了对数收益、均值、方差和响应比率过程。
  • 失衡与传统指标之间的关系会随预测期限而变化。
  • 失衡的记忆性和预测能力因市场状态而异。

标签

期货市场微观结构统计学中国市场交易执行
全文
# Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures


# Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures









We conduct modeling of the price dynamics following order flow imbalance in market microstructure and apply the model to the analysis of Chinese CSI 300 Index Futures. There are three findings. The first is that the order flow imbalance is analogous to a shock to the market. Unlike the common practice of using Hawkes processes, we model the impact of order flow imbalance as an Ornstein-Uhlenbeck process with memory and mean-reverting characteristics driven by a jump-type Lévy process. Motivated by the empirically stable correlation between order flow imbalance and contemporaneous price changes, we propose a modified asset price model where the drift term of canonical geometric Brownian motion is replaced by an Ornstein-Uhlenbeck process. We establish stochastic differential equations and derive the logarithmic return process along with its mean and variance processes under initial boundary conditions, and evolution of cost-effectiveness ratio with order flow imbalance as the trading trigger point, termed as the quasi-Sharpe ratio or response ratio. Secondly, our results demonstrate horizon-dependent heterogeneity in how conventional metrics interact with order flow imbalance. This underscores the critical role of forecast horizon selection for strategies. Thirdly, we identify regime-dependent dynamics in the memory and forecasting power of order flow imbalance. This taxonomy provides both a screening protocol for existing indicators and an ex-ante evaluation paradigm for novel metrics.

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。