英文标题：
《Survival Models for the Duration of Bid-Ask Spread Deviations》
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作者：
Efstathios Panayi and Gareth Peters
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最新提交年份：
2014
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英文摘要：
Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in the LOB is characterised by many intra-day liquidity shocks, where the LOB generally recovers after a short period of time. In this paper, we capture this dynamic aspect of liquidity using a survival regression framework, where the variable of interest is the duration of the deviations of the spread from a pre-specified level. We explore a large number of model structures using a branch-and-bound subset selection algorithm and illustrate the explanatory performance of our model.
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中文摘要：
许多常用的流动性指标基于限额指令簿（LOB）状态的快照，因此只能提供即时流动性信息，而不能提供本地流动性制度的信息。然而，LOB交易的特点是许多日内流动性冲击，LOB通常在短时间后恢复。在本文中，我们使用生存回归框架捕捉流动性的动态方面，其中利息变量是利差偏离预先指定水平的持续时间。我们使用分枝定界子集选择算法探索了大量的模型结构，并说明了我们模型的解释性能。
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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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