订单书事件的价格影响：市价订单、限价订单和 取消

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摘要翻译：
虽然市场订单的长期相关性及其对价格的影响在文献中已经得到了相对较好的研究，但对限价订单和取消的相应研究却很少。我们在这里提供了一个关于所有这些不同事件之间的相互相关性的实证研究，以及它们各自对未来价格变化的影响。我们定义并从数据中提取这些事件将产生的“裸”影响，如果它们单独发生的话。对于大型股票，我们证明了一个模型，其中所有事件的裸影响是永久的和非波动的是符合的数据。然而，对于小型股票，裸影响必须包含与历史相关的部分，反映订单簿的内部波动。我们表明，这种影响可以用一个关于过去订单流的自回归模型精确地描述。这个框架允许我们将事件的影响分解为三个部分：瞬时跳跃分量、不同事件的未来速率的修改以及最佳报价背后的未来缺口的修改。我们详细地比较了目前的形式主义和先前提出的临时影响模型，该模型用来描述当没有观察到其他类型的事件时市场订单的影响。最后，我们扩展了该模型来描述买卖价差的动态变化。
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英文标题：
《The price impact of order book events: market orders, limit orders and
  cancellations》
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作者：
Zoltan Eisler, Jean-Philippe Bouchaud, Julien Kockelkoren
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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：
  While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of the cross-correlation between all these different events, and their respective impact on future price changes. We define and extract from the data the "bare" impact these events would have, if they were to happen in isolation. For large tick stocks, we show that a model where the bare impact of all events is permanent and non-fluctuating is in good agreement with the data. For small tick stocks, however, bare impacts must contain a history dependent part, reflecting the internal fluctuations of the order book. We show that this effect can be accurately described by an autoregressive model on the past order flow. This framework allows us to decompose the impact of an event into three parts: an instantaneous jump component, the modification of the future rates of the different events, and the modification of the future gaps behind the best quotes. We compare in detail the present formalism with the temporary impact model that was proposed earlier to describe the impact of market orders when other types of events are not observed. Finally, we extend the model to describe the dynamics of the bid-ask spread.
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PDF链接：
https://arxiv.org/pdf/0904.0900

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关键词：Quantitative Modification cancellation Fluctuations Econophysics 没有 用来 缺口 订单 different