论文标题
限制顺序簿建模的标记点过程和强度比
Marked point processes and intensity ratios for limit order book modeling
论文作者
论文摘要
本文将对Muni Toke和Yoshida（2020）的分析扩展到了明显的点过程。我们考虑由三个乘法组件定义的强度的多个标记点过程，即常见的基线强度，每个过程特定的状态依赖性组件以及每个过程中每个标记中特定于每个标记的状态依赖性组件。我们表明，对于特定的标记分布，该模型是Muni Toke和Yoshida（2020）中定义的比率模型的组合。我们证明了该模型的准最大最大最大和准叶片可能性估计值的收敛结果，并提供了渐近方差的数值插图。我们使用这些比率过程来对限制顺序簿中发生的交易进行建模。模型灵活性使我们能够研究状态依赖性（强调不平衡和作为重要信号的传播的作用）和聚类。报告了校准，模型选择和预测结果，用于在巴黎Euronext交易的多个股票上的高频交易数据。我们表明，标记的比率模型在预测市场秩序在金融市场上的标志和侵略性方面优于其他基于强度的方法（例如“基于霍克斯”的方法）。
This paper extends the analysis of Muni Toke and Yoshida (2020) to the case of marked point processes. We consider multiple marked point processes with intensities defined by three multiplicative components, namely a common baseline intensity, a state-dependent component specific to each process, and a state-dependent component specific to each mark within each process. We show that for specific mark distributions, this model is a combination of the ratio models defined in Muni Toke and Yoshida (2020). We prove convergence results for the quasi-maximum and quasi-Bayesian likelihood estimators of this model and provide numerical illustrations of the asymptotic variances. We use these ratio processes in order to model transactions occuring in a limit order book. Model flexibility allows us to investigate both state-dependency (emphasizing the role of imbalance and spread as significant signals) and clustering. Calibration, model selection and prediction results are reported for high-frequency trading data on multiple stocks traded on Euronext Paris. We show that the marked ratio model outperforms other intensity-based methods (such as "pure" Hawkes-based methods) in predicting the sign and aggressiveness of market orders on financial markets.
