英文标题：
《From Glosten-Milgrom to the whole limit order book and applications to
financial regulation》
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作者：
Weibing Huang, Mathieu Rosenbaum and Pamela Saliba
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最新提交年份：
2019
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英文摘要：
We build an agent-based model for the order book with three types of market participants: informed trader, noise trader and competitive market makers. Using a Glosten-Milgrom like approach, we are able to deduce the whole limit order book (bid-ask spread and volume available at each price) from the interactions between the different agents. More precisely, we obtain a link between efficient price dynamic, proportion of trades due to the noise trader, traded volume, bid-ask spread and equilibrium limit order book state. With this model, we provide a relevant tool for regulators and market platforms. We show for example that it allows us to forecast consequences of a tick size change on the microstructure of an asset. It also enables us to value quantitatively the queue position of a limit order in the book.
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中文摘要：
我们构建了一个基于代理的订单模型，该模型包含三类市场参与者：知情交易者、噪音交易者和竞争性做市商。使用类似Glosten-Milgrom的方法，我们能够从不同代理之间的交互推断出整个限额订单簿（每种价格的买卖价差和可用数量）。更准确地说，我们得到了有效价格动态、噪声交易者的交易比例、交易量、买卖价差和均衡极限指令簿状态之间的联系。通过该模型，我们为监管机构和市场平台提供了相关工具。例如，我们展示了它允许我们预测刻度大小变化对资产微观结构的影响。它还使我们能够定量地评估书籍中限制订单的队列位置。
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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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