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摘要翻译：
金融市场中的大宗交易通常被分成较小的部分，并在较长的时间内逐步进行交易。我们把这些大宗交易当作隐藏订单处理。为了识别和表征隐含订单，我们将隐马尔可夫模型拟合到西班牙证券交易所市场成员单位库存变化的时间序列中。我们的方法概率地检测交易序列，其特征是净多数买卖交易。我们将这些顺序买卖交易的补丁解释为交易的隐藏订单的代理。我们发现这些斑块的时间、交易量和事务数大小分布都是厚尾分布。长补丁的特点是市价订单占比高，参与率低，短补丁的限价订单占比大，参与率高。我们观察到存在一个买卖不对称的数目，平均长度，市场订单的平均份额和平均参与率检测到的补丁。检测到的不对称显然取决于当地市场的趋势。我们还将隐马尔可夫模型与Vaglica{\It et al.}中的分割方法得到的模型进行了比较（2008）我们得出结论，前者可以解释为后者的一个划分。
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英文标题：
《Statistical identification with hidden Markov models of large order
splitting strategies in an equity market》
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作者：
Gabriella Vaglica, Fabrizio Lillo, Rosario N. Mantegna
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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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英文摘要：
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit hidden Markov models to the time series of the sign of the tick by tick inventory variation of market members of the Spanish Stock Exchange. Our methodology probabilistically detects trading sequences, which are characterized by a net majority of buy or sell transactions. We interpret these patches of sequential buying or selling transactions as proxies of the traded hidden orders. We find that the time, volume and number of transactions size distributions of these patches are fat tailed. Long patches are characterized by a high fraction of market orders and a low participation rate, while short patches have a large fraction of limit orders and a high participation rate. We observe the existence of a buy-sell asymmetry in the number, average length, average fraction of market orders and average participation rate of the detected patches. The detected asymmetry is clearly depending on the local market trend. We also compare the hidden Markov models patches with those obtained with the segmentation method used in Vaglica {\it et al.} (2008) and we conclude that the former ones can be interpreted as a partition of the latter ones.
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PDF链接：
https://arxiv.org/pdf/1003.2981
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