Endogenous Formation of Limit Order Books: the Effects of Trading Frequency
Endogenous Formation of Limit Order Books: the Effects of Trading Frequency
复制标题
限价订单簿的内生形成：交易频率的影响
DOI：
--
复制
发表时间：
2015
期刊：
影响因子：
--
通讯作者：
S. Nadtochiy
中科院分区：
文献类型：
--
作者：
Roman Gayduk;S. Nadtochiy
在这项工作中，我们提出了一个建模框架，其中的形状和动态的限价订单簿（LOB）产生内生多个市场参与者（代理人）之间的平衡。一方面，新的框架非常接近真实的微观层面，拍卖式交易所的机制。另一方面，它使用的标准抽象的游戏连续的球员（特别是平均场博弈论），以获得一个易于处理的宏观层面的描述的LOB。我们使用建议的建模框架来分析交易频率对市场流动性的影响，在一个非常一般的设置。特别是，我们表明，如果代理人选择提供均衡的流动性，则较高的交易频率会提高市场效率。然而，我们也表明，更高的交易频率使市场更加脆弱，在以下意义上：在高频交易制度，代理人选择提供流动性的均衡，当且仅当他们是市场中性的（即他们的信念满足一定的鞅性质）。理论结果与数值例子进行了说明。
In this work, we present a modeling framework in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). On the one hand, the new framework captures very closely the true, micro-level, mechanics of an auction-style exchange. On the other hand, it uses the standard abstractions of games with continuum of players (in particular, the mean field game theory) to obtain a tractable macro-level description of the LOB. We use the proposed modeling framework to analyze the effects of trading frequency on the liquidity of the market in a very general setting. In particular, we show that the higher trading frequency increases market efficiency if the agents choose to provide liquidity in equilibrium. However, we also show that the higher trading frequency makes markets more fragile, in the following sense: in a high-frequency trading regime, the agents choose to provide liquidity in equilibrium if and only if they are market-neutral (i.e. their beliefs satisfy certain martingale property). The theoretical results are illustrated with numerical examples.