arXiv: Trading and Market Microstructure最新文献

A note on Almgren-Chriss optimal execution problem with geometric Brownian motion 几何布朗运动下Almgren-Chriss最优执行问题的注释

arXiv: Trading and Market Microstructure Pub Date : 2020-06-19 DOI: 10.1142/s2382626620500057

Bastien Baldacci, J. Benveniste

引用次数: 1

Novel insights in the Levy–Levy–Solomon agent-based economic market model 列维-列维-所罗门代理经济市场模型的新见解

arXiv: Trading and Market Microstructure Pub Date : 2020-02-13 DOI: 10.1142/s0129183121500200

Maximilian Beikirch, T. Trimborn

引用次数: 0

Allocation Discretion, Information Sharing and Underwriter Syndication 分配自由裁量权、信息共享和承销商联合

arXiv: Trading and Market Microstructure Pub Date : 2018-07-20 DOI: 10.2139/ssrn.3217770

N. Parikh, V. Marisetty, M. Tan

{"title":"Allocation Discretion, Information Sharing and Underwriter Syndication","authors":"N. Parikh, V. Marisetty, M. Tan","doi":"10.2139/ssrn.3217770","DOIUrl":"https://doi.org/10.2139/ssrn.3217770","url":null,"abstract":"The competitiveness of the IPO underwriting market suffers from the concentration of restricted mandates in the hands of a limited number of underwriters with good reputations. Academic research has focused extensively on the relationship between underpricing and the influence of an individual underwriter. However, we have only scant research on the effect of IPO syndication on underpricing. Nevertheless, most IPOs are managed by underwriters operating as an IPO syndicate. Here, we contribute to an analysis of underwriting syndicates by examining 329 IPOs issued in the Indian IPO market in the period 2000-10 that were made subject to either a discretionary or a proportionate allocation regime. We find that the underwriting market in India is highly concentrated and is dominated by a few large and reputable underwriters who have ongoing relationships amongst themselves to manage IPOs. This highlights a potential entry barrier for new underwriters. We find that underwriters form large syndicates when the issue size is large. Also, we do not find any evidence that the motivation for underwriters to form a syndicate is due to market risk sharing or price manipulation. We conclude that underwriters syndicate to share the inventory risk of an IPO. When allocation discretion is regulated, and the risk of managing an IPO is high, we observe that the size of an underwriting syndicate is smaller. However, the results support the role of institutional subscription acting as a mediating factor for reputable underwriters to syndicate. Able to share the risk in this way, the syndicate partnership benefits the issuer with lower underpricing. Overall, we conclude that regulatory intervention is positive for market welfare due to lower underpricing. We also find that in the absence of allocation discretion, syndication by reputable underwriters acts as an effective medium of discretion for higher information and risk sharing.","PeriodicalId":8509,"journal":{"name":"arXiv: Trading and Market Microstructure","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81964070","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Order-book modelling and market making strategies 订单模型和做市策略

arXiv: Trading and Market Microstructure Pub Date : 2018-06-01 DOI: 10.1142/S2382626619500035

Xiaofei Lu, F. Abergel

引用次数: 9

Dynamical regularities of US equities opening and closing auctions. 美国股票开盘和收盘拍卖的动态规律。

arXiv: Trading and Market Microstructure Pub Date : 2018-02-01 DOI: 10.1142/S2382626619500011

D. Challet, Nikita Gourianov

引用次数: 3

How Facebook Drives Investor Behavior Facebook如何驱动投资者行为

arXiv: Trading and Market Microstructure Pub Date : 2017-09-22 DOI: 10.2139/SSRN.3040621

Milla Siikanen, K. Baltakys, H. Kärkkäinen, J. Jussila, Ravikiran Vatrapu, R. Mukkamala, Abid Hussain, J. Kanniainen

引用次数: 1

Behind the Price: On the Role of Agent’s Reflexivity in Financial Market Microstructure 价格背后:代理人反身性在金融市场微观结构中的作用

arXiv: Trading and Market Microstructure Pub Date : 2017-08-08 DOI: 10.1007/978-3-319-49872-0_3

P. Barucca, F. Lillo

引用次数: 2

Order Flows and Limit Order Book Resiliency on the Meso-Scale 中观尺度上的订单流和限制订单弹性

arXiv: Trading and Market Microstructure Pub Date : 2017-08-01 DOI: 10.1142/S2382626618500065

Kyle Bechler, M. Ludkovski

{"title":"Order Flows and Limit Order Book Resiliency on the Meso-Scale","authors":"Kyle Bechler, M. Ludkovski","doi":"10.1142/S2382626618500065","DOIUrl":"https://doi.org/10.1142/S2382626618500065","url":null,"abstract":"We investigate the behavior of limit order books on the meso-scale motivated by order execution scheduling algorithms. To do so we carry out empirical analysis of the order flows from market and limit order submissions, aggregated from tick-by-tick data via volume-based bucketing, as well as various LOB depth and shape metrics. We document a nonlinear relationship between trade imbalance and price change, which however can be converted into a linear link by considering a weighted average of market and limit order flows. We also document a hockey-stick dependence between trade imbalance and one-sided limit order flows, highlighting numerous asymmetric effects between the active and passive sides of the LOB. To address the phenomenological features of price formation, book resilience, and scarce liquidity we apply a variety of statistical models to test for predictive power of different predictors. We show that on the meso-scale the limit order flows (as well as the relative addition/cancellation rates) carry the most predictive power. Another finding is that the deeper LOB shape, rather than just the book imbalance, is more relevant on this timescale. The empirical results are based on analysis of six large-tick assets from Nasdaq.","PeriodicalId":8509,"journal":{"name":"arXiv: Trading and Market Microstructure","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2017-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84102175","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 7

Instantaneous order impact and high-frequency strategy optimization in limit order books 限价订单中的瞬时订单影响和高频策略优化

arXiv: Trading and Market Microstructure Pub Date : 2017-07-01 DOI: 10.1142/S2382626618500016

Federico Gonźalez, M. Schervish

{"title":"Instantaneous order impact and high-frequency strategy optimization in limit order books","authors":"Federico Gonźalez, M. Schervish","doi":"10.1142/S2382626618500016","DOIUrl":"https://doi.org/10.1142/S2382626618500016","url":null,"abstract":"We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and the shape of the LOB. We present an empirical analysis showing that the type of the last order significantly alters the submission rate of immediate future orders, even after accounting for the state of the LOB. To model these effects jointly we introduce a discrete Markov chain model. Then on these improved LOB dynamics, we find the policy for optimal order choice and placement in the share purchasing problem by framing it as a Markov decision process. The optimal policy derived numerically uses limit orders, cancellations and market orders. It looks to exploit the state of the LOB summarized by the volume at the bid/ask and the type of the most recent order to obtain the best execution price, avoiding non-execution and adverse selection risk simultaneously. Market orders are used aggressively when the mid-price is expected to move adversely. Limit orders are placed under favorable LOB conditions and canceled when non-execution or adverse selection probability is high. Using ultra high-frequency data from the NASDAQ stock exchange we compare our optimal policy with other submission strategies that use a subset of all available order types and show that ours significantly outperforms them.","PeriodicalId":8509,"journal":{"name":"arXiv: Trading and Market Microstructure","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76213694","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 8

Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency 具有逆向选择风险的限价单策略配售及潜伏期的作用

arXiv: Trading and Market Microstructure Pub Date : 2016-10-02 DOI: 10.1142/S2382626617500095

Charles-Albert Lehalle, Othmane Mounjid

{"title":"Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency","authors":"Charles-Albert Lehalle, Othmane Mounjid","doi":"10.1142/S2382626617500095","DOIUrl":"https://doi.org/10.1142/S2382626617500095","url":null,"abstract":"This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop a theoretical stochastic control framework to provide details on how one can exploit his knowledge on liquidity imbalance to control a limit order. We emphasis the exposure to adverse selection, of paramount importance for limit orders. For a participant buying using a limit order: if the price has chances to go down the probability to be filled is high but it is better to wait a little more before the trade to obtain a better price. In a third part we show how the added value of exploiting a knowledge on liquidity imbalance is eroded by latency: being able to predict future liquidity consuming flows is of less use if you have not enough time to cancel and reinsert your limit orders. There is thus a rational for market makers to be as fast as possible as a protection to adverse selection. Thanks to our optimal framework we can measure the added value of latency to limit orders placement. \u0000To authors' knowledge this paper is the first to make the connection between empirical evidences, a stochastic framework for limit orders including adverse selection, and the cost of latency. Our work is a first stone to shed light on the roles of latency and adverse selection for limit order placement, within an accurate stochastic control framework.","PeriodicalId":8509,"journal":{"name":"arXiv: Trading and Market Microstructure","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73587078","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 40