英文标题：
《Disentangling and quantifying market participant volatility
contributions》
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作者：
Marcello Rambaldi, Emmanuel Bacry, Jean-Fran\\c{c}ois Muzy
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最新提交年份：
2018
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英文摘要：
Thanks to the access to labeled orders on the Cac40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive limit. To achieve this result we leverage the branching properties of Hawkes point processes. We find that fast intermediaries (e.g., market maker type agents) have a smaller footprint on the volatility than slower, directional agents. The branching structure of Hawkes processes allows us to examine also the degree of endogeneity of each agent behavior. We find that high-frequency traders are more endogenously driven than other types of agents.
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中文摘要：
由于能够访问泛欧交易所提供的Cac40指数期货上的标记订单，我们能够量化市场参与者对扩散极限波动性的贡献。为了实现这个结果，我们利用了Hawkes点过程的分支性质。我们发现，快速中介机构（例如做市商类型的代理机构）在波动性上的足迹比速度较慢的定向代理机构校霍克斯过程的分支结构也允许我们检查每个代理行为的内生性程度。我们发现，高频交易者比其他类型的代理人更受内生驱动。
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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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