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Modeling the Information Content of the Limit Order Book by Bagging

机译：用装袋法模拟限价订单簿的信息内容

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作者
Li, Wenyi;
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作者单位

Illinois Institute of Technology;

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授予单位 Illinois Institute of Technology;
学科
学位 Ph.D.
年度 2018
页码 100 p.
总页数 100
原文格式 PDF
正文语种 eng
中图分类
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专利

1. Temporal logistic neural Bag-of-Features for financial time series forecasting leveraging limit order book data [J] . Nikolaos Passalis, Anastasios Tefas, Juho Kanniainen, Pattern recognition letters . 2020,第Auga期

机译：用于金融时间序列预测利用限制订单数据的时间物流神经袋 - 功能
2. High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration [J] . Lu Xiaofei, Abergel Frederic Quantitative finance . 2018,第2期

机译：限制订单书籍的高维鹰程序：建模，实证分析和数值校准
3. Estimation of ergodicity limits of bag-of-words modeling for guaranteed stochastic convergence [J] . Pattern Recognition: The Journal of the Pattern Recognition Society . 2020,第期

机译：估计保证随机收敛性袋式造型造型的遍历限制
4. Deep Temporal Logistic Bag-of-features for Forecasting High Frequency Limit Order Book Time Series [C] . Nikolaos Passalis, Anastasios Tefas, Juho Kanniainen, IEEE International Conference on Acoustics, Speech and Signal Processing . 2019

机译：深度时态物流功能包，用于预测高频限价订单时间序列
5. An empirical study of a no-arbitrage liquidity model in financial markets where limit order books are modeled by a Brownian sheet [D] . Hoang, Thanh 2013

机译：对金融市场中无套利流动性模型的实证研究，其中限价订单簿是由布朗表建模的
6. Soft Sensing of Silicon Content via Bagging Local Semi-Supervised Models [O] . Xing He, Jun Ji, Kaixin Liu, 2019

机译：通过装袋本地半监督模型对硅含量进行软检测
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％。

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