论文标题
价格响应功能和相关金融市场中的差异
Price response functions and spread impact in correlated financial markets
论文作者
论文摘要
关于股票价格对交易活动的反应的最新研究表明，即使在不同公司的股票之间，也有持久的影响。这些结果意味着在价格形成以及同时交易许多股票时，尤其是交易成本和价格相关性时，非马克维亚的影响。如何测量价格响应取决于数据集和研究重点。但是，重要的是要澄清，价格响应定义的细节如何修改结果。在这里，我们评估了从纳斯达克股票市场的交易和报价（TAQ）数据集的不同价格响应实施，发现结果在两个不同的时间尺度定义上是相同的，但是响应的差异可以差异为两个。此外，我们显示了贸易标志和回报之间订单的关键重要性，以显示信号强度的变化。此外，我们确认交易后立即价格响应的主导贡献，因为我们发现延迟的响应被抑制了。最后，我们测试了价差在价格响应中的影响，检测到大差价具有更强的影响。
Recent research on the response of stock prices to trading activity revealed long lasting effects, even across stocks of different companies. These results imply non-Markovian effects in price formation and when trading many stocks at the same time, in particular trading costs and price correlations. How the price response is measured depends on data set and research focus. However, it is important to clarify, how the details of the price response definition modify the results. Here, we evaluate different price response implementations for the Trades and Quotes (TAQ) data set from the NASDAQ stock market and find that the results are qualitatively the same for two different definitions of time scale, but the response can vary by up to a factor of two. Further, we show the key importance of the order between trade signs and returns, displaying the changes in the signal strength. Moreover, we confirm the dominating contribution of immediate price response directly after a trade, as we find that delayed responses are suppressed. Finally, we test the impact of the spread in the price response, detecting that large spreads have stronger impact.
