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摘要翻译：
我们证明了实序账簿中的价差统计量由于价差奇偶值的离散性而具有内在的非对称性。对纽约证交所订单册数据的分析指出，交易者的策略导致了这种不对称。我们还在微观模型的框架下研究了这一现象，并通过引入极限级的非均匀沉积机制，我们能够定量地再现实验数据中发现的非对称性。我们的模型的模拟也显示了一种真实的动力学，具有一种间歇性行为，其特征是长周期的顺序书是紧凑的，被挥发性构型打断。定单投放策略产生了一种非平凡的价差松弛动力学行为，这种行为类似于在实际市场中观察到的情况。
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英文标题：
《Asymmetric statistics of order books: The role of discreteness and
evidence for strategic order placement》
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作者：
A. Zaccaria, M. Cristelli, V. Alfi, F. Ciulla, L. Pietronero
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最新提交年份：
2010
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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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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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英文摘要：
We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NYSE order book points out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in the framework of a microscopic model and, by introducing a non-uniform deposition mechanism for limit orders, we are able to quantitatively reproduce the asymmetry found in the experimental data. Simulations of our model also show a realistic dynamics with a sort of intermittent behavior characterized by long periods in which the order book is compact and liquid interrupted by volatile configurations. The order placement strategies produce a non-trivial behavior of the spread relaxation dynamics which is similar to the one observed in real markets.
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PDF链接：
https://arxiv.org/pdf/0906.1387
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