Clustering of order arrivals , price impact and trade path optimisation
Clustering of order arrivals , price impact and trade path optimisation
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订单到达聚类、价格影响和贸易路径优化
DOI：
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发表时间：
2006
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通讯作者：
Patrick T. Hewlett
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作者：
Patrick T. Hewlett
我们将双变量霍克斯流程拟合到外汇市场买卖交易的到达数据。该模型可用于根据最近交易到达的历史来预测未来买卖交易的不平衡。我们推导了交易的原始价格影响随时间变化的公式，假设交易到达受霍克斯过程控制并且价格是鞅，并表明一系列交易的价格影响是由它们各自的价格影响的叠加给出的。我们使用这些公式来参数化最佳清算策略的模型。
We fit a bivariate Hawkes process to arrival data for buy and sell trades in FX markets. The model can be used to predict future imbalance of buy and sell trades conditional on history of recent trade arrivals. We derive formulae for the raw price impact of a trade as a function of time assuming that trade arrivals are governed by a Hawkes process and that the price is a martingale, and show that the price impact of a series of trades is given by superposition of their individual price impacts. We use these formulae to parameterise a model for optimal liquidation strategies.