Order Flows and Limit Order Book Resiliency on the Meso-Scale
Order Flows and Limit Order Book Resiliency on the Meso-Scale
复制标题
中观规模的订单流和限制订单簿弹性
DOI：
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
M. Ludkovski
中科院分区：
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作者：
Kyle Bechler;M. Ludkovski
在订单执行调度算法的激励下，我们在中观尺度上研究了极限订单账簿的行为。为此，我们对来自市场的订单流和限制提交的订单进行了经验分析，这些订单提交是通过基于数量的分组从逐个滴答数据聚合而来的，以及各种LOB深度和形状指标。我们记录了贸易失衡和价格变化之间的非线性关系，然而，通过考虑市场和限制订单流量的加权平均，这种关系可以转换为线性联系。我们还记录了贸易失衡和单边限制订单流动之间的曲棍球棒依赖关系，强调了LOB积极和消极方面之间的许多不对称效应。为了解决价格形成、账面弹性和稀缺流动性的现象学特征，我们应用了各种统计模型来测试不同预测者的预测能力。我们发现，在中观尺度上，极限阶流(以及相对的添加/消去率)具有最强的预测力。另一个发现是，在这个时间尺度上，更深的LOB形状，而不仅仅是书的不平衡，更相关。实证结果基于对来自纳斯达克的6项大盘股资产的分析。
We investigate the behavior of limit order books on the meso-scale motivated by order execution scheduling algorithms. To do so we carry out empirical analysis of the order flows from market and limit order submissions, aggregated from tick-by-tick data via volume-based bucketing, as well as various LOB depth and shape metrics. We document a nonlinear relationship between trade imbalance and price change, which however can be converted into a linear link by considering a weighted average of market and limit order flows. We also document a hockey-stick dependence between trade imbalance and one-sided limit order flows, highlighting numerous asymmetric effects between the active and passive sides of the LOB. To address the phenomenological features of price formation, book resilience, and scarce liquidity we apply a variety of statistical models to test for predictive power of different predictors. We show that on the meso-scale the limit order flows (as well as the relative addition/cancellation rates) carry the most predictive power. Another finding is that the deeper LOB shape, rather than just the book imbalance, is more relevant on this timescale. The empirical results are based on analysis of six large-tick assets from Nasdaq.