在美中贸易战期间的高频股票市场订单转换:2018年:离散时间马尔科夫链分析
Salam Rabindrajit Luwang1, Anish Rai1, Md Nurujjaman1
1Department of Physics, National Institute of Technology Sikkim, Sikkim 737139, India.
Chaos (Woodbury, N.Y.)
|January 12, 2024
概括
交易者在波动性较高的时期,通过放置和删除限额订单,积极影响市场. 银行股表现出性,在2018年美中贸易战期间,订单执行保持一致.
科学领域:
- 量化金融 量化金融
- 市场微观结构分析 分析市场微观结构
- 计量经济学 计量经济学
背景情况:
- 高频交易数据为市场动态提供了洞察力.
- 了解订单的放置和取消对于市场分析至关重要.
- 2018年美中贸易战造成了波动性的宏观经济环境.
研究的目的:
- 用马尔科夫链模型分析股票市场订单转换动态.
- 识别在高波动和低波动期间使用的交易策略.
- 评估2018年美中贸易战期间各行业的性.
主要方法:
- 对高频率库存订单数据的统计分析.
- 应用一级,时间均,离散时间马尔科夫链模型.
- 通过基平方测试和最大概率估计进行验证.
主要成果:
- 交易员在波动性较高的日子里积极下达和删除限额订单,以影响市场.
- 在高波动和低波动日均观察到类似的交易策略.
- 金融和银行业表现出弹性交易模式,始终完全执行订单.
结论:
- 马尔科夫链模型有效地捕捉了股票市场的订单动态.
- 交易者的行为,特别是订单删除,显著影响市场波动.
- 金融和银行业在贸易战期间表现出强,并提出了潜在的投资策略.
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