摘要翻译:
提出了限制指令市场中价格影响函数的一致性准则,该准则禁止连锁套利利用。买卖价差和对订单书两侧的同类连续市场订单的反馈对于确保在最小的时间尺度上的一致性都是必不可少的。巴黎证券交易所调查的所有股票都具有一致的价格影响函数。
---
英文标题:
《Feedback and efficiency in limit order markets》
---
作者:
Damien Challet
---
最新提交年份:
2007
---
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
--
一级分类:Physics 物理学
二级分类:Statistical Mechanics 统计力学
分类描述:Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变,热力学,场论,非平衡现象,重整化群和标度,可积模型,湍流
--
一级分类:Physics 物理学
二级分类:Physics and Society 物理学与社会
分类描述:Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体(人类或其他)的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统(如能源网、运输网络)的物理和工程。
--
---
英文摘要:
A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the order book are essential to ensure consistency at the smallest time scale. All the stocks investigated in Paris Stock Exchange have consistent price impact functions.
---
PDF链接:
https://arxiv.org/pdf/0709.3005