发帖
雷达卡
英文标题：
《Market Impact in a Latent Order Book》
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作者：
Ismael Lemhadri
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最新提交年份：
2020
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英文摘要：
The latent order book of \\cite{donier2015fully} is one of the most promising agent-based models for market impact. This work extends the minimal model by allowing agents to exhibit mean-reversion, a commonly observed pattern in real markets. This modification leads to new order book dynamics, which we explicitly study and analyze. Underlying our analysis is a mean-field assumption that views the order book through its \\textit{average} density. We show how price impact develops in this new model, providing a flexible family of solutions that can potentially improve calibration to real data. While no closed-form solution is provided, we complement our theoretical investigation with extensive numerical results, including a simulation scheme for the entire order book.
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中文摘要：
潜在订单簿{donier2015fully}是最有前途的基于代理的市场影响模型之一。这项工作扩展了最小模型，允许代理显示均值回归，这是真实市场中常见的模式。这一修改导致了新的订单动态，我们对此进行了明确的研究和分析。我们分析的基础是平均场假设，即通过订单的平均密度查看订单。我们展示了价格影响如何在这个新模型中发展，提供了一系列灵活的解决方案，可以潜在地改进对真实数据的校准。虽然没有提供封闭形式的解决方案，但我们用大量的数值结果补充了我们的理论研究，包括整个订单的模拟方案。
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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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