[量化金融] 平行市场中的交易活动和价格影响：集合与账外 伦敦证券交易所的市场 [推广有奖]

摘要翻译：
我们实证研究了伦敦证券交易所电子账面部分和代理账面外部分的交易活动，分别调查了活跃市场成员和非成员的其他市场参与者的交易。我们发现：（一）帐面外交易的成交量分布比帐面上交易的成交量分布有明显的胖尾；（二）会员和非会员群体可以根据其交易概况进行分类；（三）一个市场成员因帐面市场交易而产生的日库存变化与因帐面外市场交易而与非会员产生的库存变化之间存在强烈的反相关关系；（四）非会员在帐面外市场的订单符号的自相关性缓慢衰减。我们还分析了电子交易和账外交易的账面价格随时间的影响函数，包括正滞后和负滞后。电子交易和账外交易的无条件冲击曲线有很大的不同。此外，账面上电子交易的影响函数与交易量的相关性较小，而账面外电子交易的影响函数的形状和大小与交易量的相关性较强。
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英文标题：
《Trading activity and price impact in parallel markets: SETS vs. off-book
  market at the London Stock Exchange》
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作者：
Angelo Carollo, Gabriella Vaglica, Fabrizio Lillo and Rosario N.
  Mantegna
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最新提交年份：
2011
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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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英文摘要：
  We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book transactions has a significantly fatter tail than the one of on-book transactions, (ii) groups of members and non-members can be classified in categories according to their trading profile (iii) there is a strong anticorrelation between the daily inventory variation of a market member due to the on-book market transactions and inventory variation due to the off-book market transactions with non-members, and (iv) the autocorrelation of the sign of the orders of non-members in the off-book market is slowly decaying. We also analyze the on-book price impact function over time, both for positive and negative lags, of the electronic trades and of the off-book trades. The unconditional impact curves are very different for the electronic trades and the off-book trades. Moreover there is a small dependence of impact on the volume for the on-book electronic trades, while the shape and magnitude of impact function of off-book transactions strongly depend on volume.
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PDF链接：
https://arxiv.org/pdf/1102.0687