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摘要翻译：
本文研究了NASDAQ限价指令市场的交易持续时间，发现超高频交易持续时间有两种模式。一种模式大约是10^{-4}秒，另一种模式是1秒。这一现象和其他经验证据表明，存在两种与交易期限动态相关的制度，而制度转换是由高频交易者在提供和获取流动性之间的变化驱动的。为了研究这两种模式对限制订单书(LOB)中信息的依赖关系，我们提出了一个两状态多因素交易持续时间体制转换（MF-RSD）模型，其中概率转移矩阵是时变的，并且依赖于一些滞后的LOB因素。与一些基准持续时间模型相比，MF-RSD模型具有良好的样本内适应度和更优的样本外性能。我们发现LOB因素对交易持续时间的影响有助于更多地理解高频市场的微观结构。
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英文标题：
《A multifactor regime-switching model for inter-trade durations in the
limit order market》
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作者：
Zhicheng Li, Haipeng Xing, Xinyun Chen
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最新提交年份：
2019
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
This paper studies inter-trade durations in the NASDAQ limit order market and finds that inter-trade durations in ultra-high frequency have two modes. One mode is to the order of approximately 10^{-4} seconds, and the other is to the order of 1 second. This phenomenon and other empirical evidence suggest that there are two regimes associated with the dynamics of inter-trade durations, and the regime switchings are driven by the changes of high-frequency traders (HFTs) between providing and taking liquidity. To find how the two modes depend on information in the limit order book (LOB), we propose a two-state multifactor regime-switching (MF-RSD) model for inter-trade durations, in which the probabilities transition matrices are time-varying and depend on some lagged LOB factors. The MF-RSD model has good in-sample fitness and the superior out-of-sample performance, compared with some benchmark duration models. Our findings of the effects of LOB factors on the inter-trade durations help to understand more about the high-frequency market microstructure.
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PDF链接：
https://arxiv.org/pdf/1912.00764
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