Models for the Impact of All Order Book Events
Models for the Impact of All Order Book Events
复制标题
所有订单簿事件影响的模型
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
J. Kockelkoren
中科院分区：
文献类型：
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作者：
Zoltán Eisler;J. Bouchaud;J. Kockelkoren
我们提出了一个通用框架来描述订单簿中不同事件的影响，该框架概括了先前关于市场订单影响的工作。可以考虑两种不同的建模路线，当只考虑市场订单时，它们是等效的。一个模型假定每种事件类型都有一个临时影响（TIM）。另一方面，“历史依赖影响”模型（HDIM）假设只有价格变化事件具有直接影响，其本身通过一个“影响矩阵”通过所有事件的过去历史进行调节，该“影响矩阵”衡量给定类型的事件对未来相同标志的价格变化事件的直接影响的平均影响程度。我们特别发现，激进的市场订单倾向于降低进一步激进的市场订单的影响（并增加相反符号的激进市场订单的影响）。我们讨论了TIM和HDIM的相对优点，特别是它们准确再现价格扩散模式的能力。我们发现，尽管理论不一致，但与经验数据相比，TIM似乎比HDIM表现得更好。我们将这种矛盾归因于校准hdim时使用的不受控制的近似值，呼吁对这个问题进行进一步的研究。
We propose a general framework to describe the impact of different events in the order book, that generalizes previous work on the impact of market orders. Two different modeling routes can be considered, which are equivalent when only market orders are taken into account. One model posits that each event type has a temporary impact (TIM). The "history dependent impact" model (HDIM), on the other hand, assumes that only price-changing events have a direct impact, itself modulated by the past history of all events through an "influence matrix" that measures how much, on average, an event of a given type affects the immediate impact of a price-changing event of the same sign in the future. We find in particular that aggressive market orders tend to reduce the impact of further aggressive market orders of the same sign (and increase the impact of aggressive market orders of opposite sign). We discuss the relative merits of TIM and HDIM, in particular concerning their ability to reproduce accurately the price diffusion pattern. We find that in spite of theoretical inconsistencies, TIM appears to fare better than HDIM when compared to empirical data. We ascribe this paradox to an uncontrolled approximation used to calibrate HDIMs, calling for further work on this issue.