英文标题：
《Order Flows and Limit Order Book Resiliency on the Meso-Scale》
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作者：
Kyle Bechler and Michael Ludkovski
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最新提交年份：
2017
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英文摘要：
We investigate the behavior of limit order books on the meso-scale motivated by order execution scheduling algorithms. To do so we carry out empirical analysis of the order flows from market and limit order submissions, aggregated from tick-by-tick data via volume-based bucketing, as well as various LOB depth and shape metrics. We document a nonlinear relationship between trade imbalance and price change, which however can be converted into a linear link by considering a weighted average of market and limit order flows. We also document a hockey-stick dependence between trade imbalance and one-sided limit order flows, highlighting numerous asymmetric effects between the active and passive sides of the LOB. To address the phenomenological features of price formation, book resilience, and scarce liquidity we apply a variety of statistical models to test for predictive power of different predictors. We show that on the meso-scale the limit order flows (as well as the relative addition/cancellation rates) carry the most predictive power. Another finding is that the deeper LOB shape, rather than just the book imbalance, is more relevant on this timescale. The empirical results are based on analysis of six large-tick assets from Nasdaq.
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中文摘要：
我们研究了订单执行调度算法激励下的中尺度极限订单书行为。为此，我们对来自市场和限额订单提交的订单流进行了实证分析，这些订单流是通过基于成交量的bucketing以及各种LOB深度和形状度量从逐笔数据汇总而来的。我们记录了贸易不平衡与价格变化之间的非线性关系，但通过考虑市场和限价订单流的加权平均数，可以将其转换为线性关系。我们还记录了贸易失衡和单边限制订单流之间的曲棍球依赖关系，突出了LOB主动和被动双方之间的众多不对称效应。为了解决价格形成、账面弹性和流动性稀缺的现象学特征，我们应用各种统计模型来测试不同预测因子的预测能力。我们表明，在中尺度上，极限指令流（以及相对添加/取消率）具有最大的预测能力。另一个发现是，更深层次的业务线形状，而不仅仅是账面失衡，在这个时间尺度上更相关。实证结果基于对纳斯达克六大tick资产的分析。
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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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