两个耦合模拟限价订单簿中出现的相关性

Dominic Bauer, Derick Diana, Tim Gebbie
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引用次数: 0

摘要

我们使用随机游走模拟两个耦合扩散限价订单簿的流体极限,以模拟相关性的出现。该模型实现了订单的到达、取消和扩散,这些订单由一对交易者耦合而成,该交易者从流体极限中两个订单簿之间的均值反转中获利,而流体极限中的 Lit 订单簿具有消失边界条件和订单量守恒。我们能够证明埃普斯效应的恢复。我们讨论了各种典型事实如何取决于模型参数和数值方案,并讨论了该方法的各种优缺点。我们展示了埃普斯效应如何取决于时间和价格离散化的不同选择。这说明了埃普斯效应是如何在相对于潜在模型的市场微观结构噪声的情况下出现的,而可以将其视为异步事件世界中交易者互动所产生的新兴属性。
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Correlation emergence in two coupled simulated limit order books
We use random walks to simulate the fluid limit of two coupled diffusive limit order books to model correlation emergence. The model implements the arrival, cancellation and diffusion of orders coupled by a pairs trader profiting from the mean-reversion between the two order books in the fluid limit for a Lit order book with vanishing boundary conditions and order volume conservation. We are able to demonstrate the recovery of an Epps effect from this. We discuss how various stylised facts depend on the model parameters and the numerical scheme and discuss the various strengths and weaknesses of the approach. We demonstrate how the Epps effect depends on different choices of time and price discretisation. This shows how an Epps effect can emerge without recourse to market microstructure noise relative to a latent model but can rather be viewed as an emergent property arising from trader interactions in a world of asynchronous events.
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