英文标题：
《From asymptotic properties of general point processes to the ranking of
financial agents》
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作者：
Othmane Mounjid, Mathieu Rosenbaum, Pamela Saliba
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最新提交年份：
2019
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英文摘要：
We propose a general non-linear order book model that is built from the individual behaviours of the agents. Our framework encompasses Markovian and Hawkes based models. Under mild assumptions, we prove original results on the ergodicity and diffusivity of such system. Then we provide closed form formulas for various quantities of interest: stationary distribution of the best bid and ask quantities, spread, liquidity fluctuations and price volatility. These formulas are expressed in terms of individual order flows of market participants. Our approach enables us to establish a ranking methodology for the market makers with respect to the quality of their trading.
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中文摘要：
我们提出了一个基于代理个体行为的一般非线性订单模型。我们的框架包括基于马尔可夫模型和霍克斯模型。在温和的假设下，我们证明了这类系统遍历性和扩散性的原始结果。然后，我们提供了各种利息量的封闭式公式：最佳买入和卖出数量的平稳分布、价差、流动性波动和价格波动。这些公式以市场参与者的单个订单流表示。我们的方法使我们能够为做市商建立一种关于其交易质量的排名方法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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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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