英文标题：
《Modeling the coupled return-spread high frequency dynamics of large tick
assets》
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作者：
Gianbiagio Curato, Fabrizio Lillo
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最新提交年份：
2013
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英文摘要：
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a Markov-switching modeling approach for price change, where the latent Markov process is the transition between spreads. We then use a finite Markov mixture of logit regressions on past squared returns to describe the dependence of the probability of price changes. The model can thus be seen as a Double Chain Markov Model. We show that the model describes the shape of return distribution at different time aggregations, volatility clustering, and the anomalous decrease of kurtosis of returns. We calibrate our models on Nasdaq stocks and we show that this model reproduces remarkably well the statistical properties of real data.
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中文摘要：
大型勾价资产，即一个勾价变动是价格的重要组成部分，且买卖价差几乎总是等于一个勾价的资产，表现出价格变化和价差强烈耦合的动态。我们介绍了一种价格变化的马尔可夫转换建模方法，其中潜在的马尔可夫过程是价差之间的转换。然后，我们使用罗吉特回归对过去平方收益的有限马尔可夫混合来描述价格变化概率的依赖性。因此，该模型可视为双链马尔可夫模型。我们发现，该模型描述了不同时间聚集、波动率聚集和收益峰度异常下降时的收益分布形状。我们在纳斯达克股票市场上校准了我们的模型，我们发现这个模型非常好地再现了真实数据的统计特性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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