英文标题：
《The adaptive nature of liquidity taking in limit order books》
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作者：
Damian Eduardo Taranto, Giacomo Bormetti, Fabrizio Lillo
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最新提交年份：
2014
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英文摘要：
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling the persistence of the order flow with market efficiency is a subtle issue. A possible solution is provided by asymmetric liquidity, which states that the impact of a buy or sell order is inversely related to the probability of its occurrence. We empirically find that when the order flow predictability increases in one direction, the liquidity in the opposite side decreases, but the probability that a trade moves the price decreases significantly. While the last mechanism is able to counterbalance the persistence of order flow and restore efficiency and diffusivity, the first acts in opposite direction. We introduce a statistical order book model where the persistence of the order flow is mitigated by adjusting the market order volume to the predictability of the order flow. The model reproduces the diffusive behaviour of prices at all time scales without fine-tuning the values of parameters, as well as the behaviour of most order book quantities as a function of the local predictability of order flow.
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中文摘要：
在金融市场中，订单流的定义是，假设买入市场订单的值为1，卖出市场订单的值为负1的过程，显示出一个非常缓慢衰减的自相关函数。由于订单的持续性对市场价格的影响是微妙的。非对称流动性提供了一种可能的解决方案，即买卖订单的影响与其发生的概率成反比。我们实证发现，当订单流的可预测性在一个方向上增加时，对方的流动性降低，但交易推动价格的概率显著降低。虽然最后一种机制能够平衡有序流的持续性，恢复效率和扩散率，但第一种机制的作用方向相反。我们引入了一个统计订单簿模型，通过将市场订单量调整到订单流的可预测性来缓解订单流的持续性。该模型再现了价格在所有时间尺度上的扩散行为，而无需微调参数值，以及作为订单流局部可预测性函数的大多数订单数量的行为。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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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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