Effects of limit order book information level on market stability metrics

Paddrik Mark; Hayes Roy; Scherer William; Beling Peter

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Effects of limit order book information level on market stability metrics

机译：限价订单簿信息水平对市场稳定性指标的影响

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Using an agent-based model of the limit order book, we explore how the levels of information available to participants, exchanges, and regulators can be used to improve our understanding of the stability and resiliency of a market. Ultimately, we want to know if electronic market data contains previously undetected information that could allow us to better assess market stability. Using data produced in the controlled environment of an agent-based model's limit order book, we examine various resiliency indicators to determine their predictive capabilities. Most of the types of data created have traditionally been available either publicly or on a restricted basis to regulators and exchanges, but other types have never been collected. We confirmed our findings using actual order flow data with user identifications included from the CME (Chicago Mercantile Exchange) and New York Mercantile Exchange. Our findings strongly suggest that high-fidelity microstructure data in combination with price data can be used to define stability indicators capable of reliably signaling a high likelihood for an imminent flash crash event about one minute before it occurs.

机译：使用基于代理的限价订单模型，我们探索如何使用参与者，交易所和监管机构可用的信息水平来增进我们对市场稳定性和弹性的理解。最终，我们想知道电子市场数据是否包含以前未被发现的信息，从而可以使我们更好地评估市场稳定性。使用在基于代理的模型的限价单的受控环境中生成的数据，我们检查了各种弹性指标，以确定其预测能力。传统上，创建的大多数数据类型都可以公开获取，也可以在有限的基础上提供给监管机构和交易所，但从未收集过其他类型的数据。我们使用包含CME（芝加哥商品交易所）和纽约商品交易所的用户标识的实际订单流数据确认了我们的发现。我们的发现强烈表明，将高保真度的微观结构数据与价格数据相结合，可以用来定义稳定性指标，这些指标能够可靠地预示即将发生的Flash崩溃事件的可能性大约为一分钟。

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《Journal of Economic Interaction and Coordination》 |2017年第2期|221-247|共27页
作者
Paddrik Mark; Hayes Roy; Scherer William; Beling Peter;
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Off Financial Res, Washington, DC USA;

Univ Virginia, Charlottesville, VA USA;

Univ Virginia, Charlottesville, VA USA;

Univ Virginia, Charlottesville, VA USA;

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1. The effects of trade size and market depth on immediate price impact in a limit order book market [J] . Pham Manh Cuong, Anderson Heather Margot, Duong Huu Nhan, Journal of Economic Dynamics and Control . 2020,第Nova期

机译：贸易规模和市场深度对极限票据市场立即对价格影响的影响
2. Effects of a price limit change on market stability at the intraday horizon in the Korean stock market [J] . Kim Wonse, Jun Sungjae Applied economics letters . 2019,第7a9期

机译：价格限制变化对韩国股市盘中地平线市场稳定的影响
3. Trading mechanisms and market quality: Limit-order books versus dealership markets [J] . Xing Xiaochuan, Xue Yi Economics letters . 2017,第MAY期

机译：交易机制和市场质量：限价订单簿与经销商市场
4. Revealing Intraday Market Efficiency -- Estimating Diurnal Price Densities in Limit Order Books [C] . International Conference on Information and Financial Engineering . 2009

机译：揭示盘中的市场效率 - 估算限制秩序书中的日价格密度
5. Microstructure Analysis of Dynamic Markets: Limit Order Books and Dynamic Matching Markets. [D] . Zheng, Hua. 2016

机译：动态市场的微观结构分析：限价订单簿和动态匹配市场。
6. Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective [O] . Xiong Xiong, Ding Nan, Yang Yang, -1

机译：基于Agent的中国股指期货市场市场稳定性和价格限制研究
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

Effects of limit order book information level on market stability metrics

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