英文标题：
《Market Dynamics vs. Statistics: Limit Order Book Example》
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作者：
Vladislav Gennadievich Malyshkin and Ray Bakhramov
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最新提交年份：
2016
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英文摘要：
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this difference we propose to make a transition from \"Statistical\" type of order book study (typical for academics) to \"Dynamical\" type of study (typical for market practitioners). Based on market data analysis we conclude, that most of market dynamics information is contained in attributes with spikes (e.g. executed trades flow $I=dv/dt$), there is no any \"stationary case\" on the market and typical market dynamics is a \"fast excitation and then slow relaxation\" type of behavior with a wide distribution of excitation frequencies and relaxation times. A computer code, providing full depth order book information and recently executed trades is available from authors [1].
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中文摘要：
常用的限价指令簿属性是基于纳斯达克瘙痒数据进行经验考虑的。结果表明，其中一些具有与许多市场动力学研究中假设的性质截然不同的性质。由于这种差异，我们建议从“统计”类型的订单研究（学术界的典型研究）过渡到“动态”类型的研究（市场从业者的典型研究）。根据市场数据分析，我们得出结论，大多数市场动态信息包含在具有尖峰的属性中（例如，执行交易流$I=dv/dt$），市场上不存在任何“平稳情况”，典型的市场动态是一种“快速激励然后缓慢松弛”的行为，具有广泛的激励频率和松弛时间分布。作者[1]提供了一个计算机代码，该代码提供了完整的订单簿信息和最近执行的交易。
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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：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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