限价订单市场流动性的约化形式随机模型
文章 arXiv papers · 作者: Pekka Malo et al.
总结
本文通过扩展完全流动市场的经典模型，建立限价订单市场的参数化随机模型，并用少量风险因子描述订单簿流动性。该约化形式方法旨在保持模型易于处理：可以使用多元随机过程的标准方法进行校准和分析。论文认为，这种紧凑表示仍能捕捉微观结构研究所发现的若干市场特征。
作者使用哥本哈根证券交易所的数据校准了一个连续时间三因子模型。校准结果显示，流动性具有均值回归特征，并存在影响后续中间价走势的挤出效应。作者还提出，可用这些动态模型研究流动性冲击后的市场韧性。所述证据仅为对一家交易所数据的校准；摘要未提供样本外预测结果、具体校准细节，也未证明其他市场存在相同行为。这项工作是流动性动态的建模框架，而非交易策略。
核心观点
- 在经典市场模型中加入少量风险因子，即可表示流动性特征。
- 所提随机模型旨在适配标准的校准与分析方法。
- 对哥本哈根证券交易所的校准显示流动性具有均值回归特征，并会对后续中间价走势产生挤出效应。
- 该动态框架可用于分析流动性冲击后的市场韧性。
标签
全文
# Reduced form modeling of limit order markets # Reduced form modeling of limit order markets This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors that describe liquidity properties of the order book. The resulting models are easy to calibrate and to analyze using standard techniques for multivariate stochastic processes. Despite their simplicity, the models are able to capture several properties that have been found in microstructural analysis of limit order markets. Calibration of a continuous-time three-factor model to Copenhagen Stock Exchange data exhibits e.g.\ mean reversion in liquidity as well as the so called crowding out effect which influences subsequent mid-price moves. Our dynamic models are well suited also for analyzing market resiliency after liquidity shocks.
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此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。