英文标题：
《A String Model of Liquidity in Financial Markets》
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作者：
Sergey Lototsky and Henry Schellhorn and Ran Zhao
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最新提交年份：
2018
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英文摘要：
We consider a dynamic market model of liquidity where unmatched buy and sell limit orders are stored in order books. The resulting net demand surface constitutes the sole input to the model. We prove that generically there is no arbitrage in the model when the driving noise is a stochastic string. Under the equivalent martingale measure, the clearing price is a martingale, and options can be priced under the no-arbitrage hypothesis. We consider several parameterized versions of the model, and show some advantages of specifying the demand curve as quantity as a function of price (as opposed to price as a function of quantity). We calibrate our model to real order book data, compute option prices by Monte Carlo simulation, and compare the results to observed data.
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中文摘要：
我们考虑流动性的动态市场模型，其中无匹配的买入和卖出限额订单存储在订单簿中。生成的净需求面构成模型的唯一输入。我们证明了当驱动噪声为随机字符串时，模型一般不存在套利。在等价鞅测度下，清算价格是鞅，期权可以在无套利假设下定价。我们考虑了该模型的几个参数化版本，并展示了将需求曲线指定为数量与价格的函数（而不是价格与数量的函数）的一些优点。我们根据实际订单数据对模型进行校准，通过蒙特卡罗模拟计算期权价格，并将结果与观测数据进行比较。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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