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摘要翻译：
我们引入了一个新的模型来描述逐滴答金融时间序列的波动。我们的模型基于标记点流程，允许我们将交易的持续时间和相应的订单量合并到一个独特的流程中。该模型的动机是，市场的“激励”在低交易量和高交易量的时段是不同的。通过对毫秒内外汇数据采样的数值模拟，说明了我们的结果。通过对主要程式化事实的检验，我们表明该模型与经验数据是一致的。我们还发现有限订单量的分布与市场订单量之间存在着有趣的关系。最后，我们提出了一个风险管理的应用，并介绍了一个预测程序。
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英文标题：
《Modeling First Line Of An Order Book With Multivariate Marked Point
Processes》
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作者：
Alexis Fauth (SAMM), Ciprian A. Tudor (LPP)
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最新提交年份：
2012
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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：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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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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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the corresponding volume of orders. The model is motivated by the fact that the "excitation" of the market is different in periods of time with low exchanged volume and high volume exchanged. We illustrate our result by numerical simulations on foreign exchange data sampling in millisecond. By checking the main stylized facts, we show that the model is consistent with the empirical data. We also find an interesting relation between the distribution of the volume of limited order and the volume of market orders. To conclude, we propose an application to risk management and we introduce a forecast procedure.
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PDF链接：
https://arxiv.org/pdf/1211.4157
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