英文标题:
《Market Making under a Weakly Consistent Limit Order Book Model》
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作者:
Baron Law and Frederi Viens
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最新提交年份:
2020
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英文摘要:
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible framework allows arbitrary order volume, price jump, and bid-ask spread distributions as well as the use of market orders. It also honors the consistency of price movements upon arrivals of different order types. For example, it is apparent that prices should never go down on buy market orders. In addition, it respects the price-time priority of LOB. In contrast to the approach of regular control on diffusion as in the classical Avellaneda and Stoikov [1] market-making framework, we exploit the techniques of optimal switching and impulse control on marked point processes, which have proven to be very effective in modeling the order-book features. The Hamilton-Jacobi-Bellman quasi-variational inequality (HJBQVI) associated with the control problem can be solved numerically via finite-difference method. We illustrate our optimal trading strategy with a full numerical analysis, calibrated to the order-book statistics of a popular Exchanged-Traded Fund (ETF). Our simulation shows that the profit of market-making can be severely overstated under LOBs with inconsistent price movements.
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中文摘要:
我们开发了一种新的做市商模型,该模型是根据市场微观结构中众所周知的订单类型分类,针对限额订单簿(LOB)下的高频交易而定制的。我们灵活的框架允许任意的订单量、价格上涨、买卖价差分布以及使用市场订单。它还尊重不同订单类型到货时价格变动的一致性。例如,很明显,在买方市场订单上,价格永远不应该下跌。此外,它尊重LOB的价格-时间优先级。与经典的Avellaneda和Stoikov[1]做市框架中对扩散进行常规控制的方法不同,我们利用了标记点过程的最优切换和脉冲控制技术,这在订单特征建模中被证明是非常有效的。与控制问题相关的Hamilton-Jacobi-Bellman拟变分不等式(HJBQVI)可以通过有限差分法进行数值求解。我们用一个完整的数值分析来说明我们的最佳交易策略,并根据一个流行的交易所交易基金(ETF)的订单统计数据进行校准。我们的模拟表明,在价格波动不一致的LOB下,做市商的利润可能被严重夸大。
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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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