用模拟订单流检验连续双向拍卖的稳健性
文章 arXiv papers · 作者: Alessandro Cappellini et al.
总结
本研究通过考察模拟股票市场中的等待时间分布，评估连续双向拍卖机制。基于智能体的模型通过市场订单簿生成合理的订单和交互。研究人员在36种设置中改变交易者行为和市场微观结构，然后分析完整序列以及卖单和买单各自的等待时间。报告结果显示，该拍卖机制面对差异显著的订单流时仍能持续完成撮合。比较还表明，米兰交易所模拟的配置效率略高于NYSE。作者称模拟智能体的决策和交互再现了一些实证发现，但所提供的描述没有分布估计、模型设定或更广泛的验证细节。因此，这些发现仅适用于受测模拟设置，不能证明相同行为适用于所有市场或现实条件。
核心观点
- 研究使用基于智能体的模型生成合理的订单流和市场订单簿交互。
- 等待时间分布被用作衡量连续双向拍卖表现的指标。
- 研究在36种模拟设置中改变交易者行为和市场微观结构。
- 拍卖机制能够撮合范围广泛的模拟订单流。
- 米兰交易所模拟的配置效率似乎略高于NYSE模拟。
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# Waiting Times in Simulated Stock Markets # Waiting Times in Simulated Stock Markets Exploiting a precise reproduction of a stock exchange, the robustness of the Continuous Double Auction (CDA) mechanism, evaluated by means of the waiting time distributions, has been proved versus 36 different set ups made by varying both the operators' behaviour and the market micro structure. The obtained results demonstrate that the CDA remains able to clear strongly different order flows, though the Milan stock exchange seemed to be a little more efficient than the NYSE under the allocative point of view, witnessing the intrinsic complexity of the stock market. The simulation has been built as an Agent Based Model in order to obtain a plausible order flow. The decisions of single agents and their interaction through the market book are realistic and reproduce some empirical analysis results. The mentioned results have been obtained either by the analysis of the complete pending time series and the same computation of the asks and bids series alone.
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