英文标题：
《A reduced-form model for level-1 limit order books》
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作者：
Tzu-Wei Yang and Lingjiong Zhu
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最新提交年份：
2016
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英文摘要：
One popular approach to model the limit order books dynamics of the best bid and ask at level-1 is to use the reduced-form diffusion approximations. It is well known that the biggest contributing factor to the price movement is the imbalance of the best bid and ask. We investigate the data of the level-1 limit order books of a basket of stocks and study the numerical evidence of drift, correlation, volatility and their dependence on the imbalance. Based on the numerical discoveries, we develop a nonparametric discrete model for the dynamics of the best bid and ask, which can be approximated by a reduced-form model with analytical tractability that can fit the empirical data of correlation, volatilities and probability of price movement simultaneously.
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中文摘要：
一种流行的方法是使用简化形式的扩散近似来模拟一级最佳出价和出价的极限订单动态。众所周知，造成价格波动的最大因素是最好的出价和出价的不平衡。我们调查了一篮子股票的一级限额指令簿数据，研究了漂移、相关性、波动性及其对不平衡的依赖性的数字证据。基于这些数值发现，我们建立了一个非参数离散模型来描述最佳出价和最佳出价的动态，该模型可以用一个简化模型来近似，该模型具有分析可处理性，可以同时拟合相关性、波动性和价格运动概率的经验数据。
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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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