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首页> 外文期刊>Journal of Economic Dynamics and Control >The Impact Of Heterogeneous Trading Rules On The Limit Order Book And Order Flows
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The Impact Of Heterogeneous Trading Rules On The Limit Order Book And Order Flows

机译：异构交易规则对限价订单簿和订单流的影响

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摘要

In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components of the expectation of future asset returns, namely fundamentalist, chartist and noise trader. Furthermore agents differ in the characteristics describing these components, such as time horizon, risk aversion and the weights given to the various components. The model developed here extends a great deal of earlier literature in that the order submissions of agents are determined by utility maximisation, rather than the mechanical unit order size that is commonly assumed. In this way the order flow is better related to the ongoing evolution of the market. For the given market structure we analyze the impact of the three components of the trading strategies on the statistical properties of prices and order flows and observe that it is the chartist strategy that is mainly responsible of the fat tails and clustering in the artificial price data generated by the model. The paper provides further evidence that large price changes are likely to be generated by the presence of large gaps in the book.
机译：在本文中，我们建立了一个以订单为导向的市场模型，交易者根据外在固定的规则设定出价和要价，然后发布市场或限价订单。假设代理商具有对未来资产收益的期望的三个组成部分，即原教旨主义者，图表专家和噪声交易者。此外，主体在描述这些组成部分的特征方面也有所不同，例如时间范围，风险规避和赋予各个组成部分的权重。这里开发的模型扩展了许多早期文献，因为代理的订单提交是由效用最大化决定的，而不是通常假定的机械单位订单大小。这样，订单流与市场的持续发展更好地相关。对于给定的市场结构，我们分析了交易策略的三个组成部分对价格和订单流的统计特性的影响，并观察到，正是图表策略主要负责生成的人工价格数据中的尾巴和聚类由模型。本文提供了进一步的证据，表明书中存在较大的缺口可能会导致价格大幅度变化。

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