什么是bid-ask bounce effect

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什么是bid-ask bounce effect？？？有人解析下么。。。

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关键词：Effect FECT Ask bid ect

The bid-ask bounce is the bouncing of trade prices between the bid and ask sides of the market. It introduces a systematic bias to the data which can cause serious problems in analysis.

What methods can be used to control for the bid/ask bounce when using high-frequency data? One approach is to use the bid/ask midpoint, but what about with trade data? Even using n-minutely VWAP prices doesn't guarantee that you won't have spurious mean-reverting behavior.

tigerwolf 发表于 2014-8-11 23:43
The bid-ask bounce is the bouncing of trade prices between the bid and ask sides of the market. It i ...

你解释的不错。可是为什么会bounce呢？

cherishlife123 发表于 2014-8-12 09:36
你解释的不错。可是为什么会bounce呢？

bounce, 你可以理解为跳动，波动，也可以理解为Market Maker为了玄幻需求或价格走向的有意操纵。
譬如在某个时刻，市场最高的 BID Price: $10.00，意向买r入200股， 市场最低的Offer： $10.10, 意向卖出500股。因为欲买着和欲卖着价格都未达到，当时还没交易。
突然有人（或系统）下了卖单 $10.01 意向卖出 1万股。这下那个欲买进$10.00 的那个见大单卖出，吓破了胆，马上改单 $9.80 买100股。这时候最高BID价格就变成了 $9.80, 最高Offer 是$10.01， 但这时候欲卖出的人见他的卖单挂在那也卖不出，就干脆撤单了。那原来那个欲在10.00买进的人，看看在9.8 也买不到，又把BID 价格调回到 $10.00,  当然价格也会因为市场上显示订单交易而发生变化。如果某个大单大量买入，也会导致价格变化。这种BID/Offer价格跳动的过程大部分情况都是由交易系统的软件实现，人工手动因素通常为次要的。  

tigerwolf 发表于 2014-8-12 10:11
bounce, 你可以理解为跳动，波动，也可以理解为Market Maker为了玄幻需求或价格走向的有意操纵。
譬如在 ...

我去。。。这么不可思议

Due to mix of buyers and sellers in an order flow, price changes caused by a jump from bid to ask most frequently follow prices changes from ask to bid. Such price changes are transient and price changes happening between bid and ask is called bid-ask bounce. It is a minor form of price volatility caused by impatient traders who demand immediacy.

tigerwolf 发表于 2014-8-12 10:11
bounce, 你可以理解为跳动，波动，也可以理解为Market Maker为了玄幻需求或价格走向的有意操纵。
譬如在 ...

还有一种解释，刚找到的。Due to mix of buyers and sellers in an order flow, price changes caused by a jump from bid to ask most frequently follow prices changes from ask to bid. Such price changes are transient and price changes happening between bid and ask is called bid-ask bounce. It is a minor form of price volatility caused by impatient traders who demand immediacy.

解释的还是很明白的，看了算三差不多懂了