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雷达卡
英文标题：
《Long-range Auto-correlations in Limit Order Book Markets: Inter- and
Cross-event Analysis》
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作者：
Martin Magris, Jiyeong Kim, Esa Rasanen, Juho Kanniainen
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最新提交年份：
2017
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英文摘要：
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data from NASDAQ Nordic over a period of three years to numerically estimate the power-law scaling exponents using detrended fluctuation analysis (DFA). We address inter-event durations (order to order, trade to trade, cancel to cancel) as well as cross-event durations (time from order submission to its trade or cancel). We find strong evidence of long-range correlation, which is consistent across different stocks and variables. However, given the crossovers in the DFA fluctuation functions, our results indicate that the long-range correlation in inter-event durations becomes stronger over a longer time scale, i.e., when moving from a range of hours to days and further to months. We also observe interesting associations between the scaling exponent and a number of economic variables, in particular, in the inter-trade time series.
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中文摘要：
金融时间序列中的长期相关性反映了由算法和人类决策驱动的股票市场的复杂动态。我们的分析利用NASDAQ Nordic三年来的超高频订单数据，使用去趋势波动分析（DFA）对幂律标度指数进行数值估计。我们处理事件间持续时间（订单到订单、交易到交易、取消到取消）以及跨事件持续时间（从订单提交到交易或取消的时间）。我们发现了长期相关性的有力证据，这在不同的股票和变量中是一致的。然而，考虑到DFA波动函数的交叉性，我们的结果表明，事件间持续时间的长期相关性在更长的时间尺度上变得更强，即从小时到天，再到月。我们还观察到标度指数与许多经济变量之间的有趣关联，特别是在贸易间时间序列中。
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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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