论文标题
流动性提供的波动性的实时检测
Real-Time Detection of Volatility in Liquidity Provision
论文作者
论文摘要
先前的研究发现，高频交易者将在毫秒时期内迅速改变出价或迅速提供价格。这是对可以用微秒精确度计时交易的快速交易者的好处，但是由于贸易执行价格不确定性增加，这是对普通市场参与者的成本。在此分析中，我们尝试构建实时方法来确定安全性的流动性是否正在迅速改变。我们发现一个四州马尔可夫开关模型可以确定流动性在平均值迅速变化的状态。该状态可用于生成信号，以延迟市场参与者的订单，直到价格波动平息为止。在我们的样本上，该信号将总计延迟订单，超过交易日的0％至10％。每个单独的延迟只会持续数十毫秒，因此，普通市场参与者不会引起人们的注意。
Previous research has found that high-frequency traders will vary the bid or offer price rapidly over periods of milliseconds. This is a benefit to fast traders who can time their trades with microsecond precision, however it is a cost to the average market participant due to increased trade execution price uncertainty. In this analysis we attempt to construct real-time methods for determining whether the liquidity of a security is being altered rapidly. We find a four-state Markov switching model identifies a state where liquidity is being rapidly varied about a mean value. This state can be used to generate a signal to delay market participant orders until the price volatility subsides. Over our sample, the signal would delay orders, in aggregate, over 0 to 10% of the trading day. Each individual delay would only last tens of milliseconds, and so would not be noticeable by the average market participant.
