英文标题：
《The Random Walk of High Frequency Trading》
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作者：
Eric M. Aldrich, Indra Heckenbach, Gregory Laughlin
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最新提交年份：
2014
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英文摘要：
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in trade time. We show that when controlling for pre-scheduled market news events, trade-time returns of the highly liquid near-month E-mini S&P 500 futures contract are well characterized by a Gaussian distribution at very fine time scales. Second, we develop a structured and parsimonious model of clock-time returns by subordinating a trade-time Gaussian distribution with a trade arrival process that is associated with a modified Markov-Switching Multifractal Duration (MSMD) model. This model provides an excellent characterization of high-frequency inter-trade durations. Over-dispersion in this distribution of inter-trade durations leads to leptokurtosis and volatility clustering in clock-time returns, even when trade-time returns are Gaussian. Finally, we use our model to extrapolate the empirical relationship between trade rate and volatility in an effort to understand conditions of market failure. Our model suggests that the 1,200 km physical separation of financial markets in Chicago and New York/New Jersey provides a natural ceiling on systemic volatility and may contribute to market stability during periods of extremely heavy trading.
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中文摘要：
本文通过分别对交易时间收益和交易到达的动态进行建模，建立了高频股票收益模型。我们的主要贡献有三个方面。首先，我们描述了高频资产收益在普通时钟时间和交易时间的分布行为。我们发现，当控制预先安排的市场新闻事件时，高流动性的近月E-mini S&P 500期货合约的交易时间收益率在非常精细的时间尺度上具有良好的高斯分布特征。其次，我们通过将交易时间高斯分布与交易到达过程（与改进的马尔可夫切换多重分形持续时间（MSMD）模型相关）相联系，建立了一个结构化且简约的时钟时间收益模型。该模型提供了高频交易持续时间的极好表征。这种交易时间间隔分布的过度分散导致了时间时钟收益率的瘦肉症和波动聚集，即使交易时间收益率是高斯分布的。最后，我们使用我们的模型来推断交易率和波动性之间的经验关系，以了解市场失灵的条件。我们的模型表明，芝加哥和纽约/新泽西金融市场长达1200公里的实际分离为系统波动提供了一个自然上限，并可能有助于在极为繁忙的交易期间保持市场稳定。
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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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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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