Jose Javier Cerda Hernández, Artem Logachov, Anatoly Yambartsev
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引用次数: 0
摘要
我们提出了一个简单的连续时间随机模型，用于捕捉限价订单簿在流动性波动情况下的动态变化，流动性波动表现为 OB 内部成交价格水平的差距。受 Farmer 等人（2004 年）的启发，我们定义了一个包含流动性波动的价差动态模型，并对模型的特性进行了全面的理论研究，提供了几个关键渐近定理的严格证明。此外，我们还展示了在这一机制下利差的大偏差表现。
Bid-ask spread dynamics: large upward jump with geometric catastrophes
We propose a simple continuous-time stochastic model for capturing the dynamics of a limit order book in the presence of liquidity fluctuations, manifested by gaps in filled price levels within the OB. Inspired by Farmer et al. (2004), we define a model for the dynamics of spread that incorporates liquidity fluctuations and undertake a comprehensive theoretical study of the model's properties, providing rigorous proofs of several key asymptotic theorems. Furthermore, we show how large deviations manifest in the spread under this regime.
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