订单拆分是股票订单流持续性的成因
文章 arXiv papers · 作者: Bence Toth et al.
总结
本文探讨为何股票交易中的买卖订单方向会在长序列中保持正相关。研究区分了两种可能成因：羊群行为，即不同投资者采取相似行动；订单拆分，即一位投资者将大额订单拆成许多小额订单。经纪商选择可能模糊两者的区别，因此作者将羊群行为、订单拆分和经纪商选择纳入同一模型。
研究使用包含会员标识符的伦敦证券交易所订单数据，发现订单拆分在几小时以内的时间尺度上几乎完全解释了这种持续性。研究还报告称，不同经纪公司之间及不同时期的经纪商订单流均具有一致性。这些发现描述的是所研究的市场和时间范围；摘要没有对其他交易场所、资产类别或更长时间范围作广泛比较，也没有证明某种机制在所有情形下都占主导地位。
核心观点
- 股票买卖订单方向在许多连续订单中可能保持正相关。
- 羊群行为和订单拆分是订单流持续性的两种不同解释。
- 经纪商选择可能使对这两种解释的区分和测量产生偏差。
- 作者在羊群行为和订单拆分之外，还对经纪商选择进行建模。
- 在所研究的数据中，几小时以内的持续性主要由订单拆分造成。
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全文
# Why is order flow so persistent? # Why is order flow so persistent? Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior of different investors, or order splitting, corresponding to positive autocorrelation in the behavior of single investors. We investigate this using order flow data from the London Stock Exchange for which we have membership identifiers. By formulating models for herding and order splitting, as well as models for brokerage choice, we are able to overcome the distortion introduced by brokerage. On timescales of less than a few hours the persistence of order flow is overwhelmingly due to splitting rather than herding. We also study the properties of brokerage order flow and show that it is remarkably consistent both cross-sectionally and longitudinally.
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。