协整资产的微观结构

Capital Markets: Market Efficiency eJournal Pub Date : 2021-04-11 DOI:10.2139/ssrn.3824298

Sasha Stoikov, Peter Decrem, Yikai Hua, Anne Shen

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引用次数: 1

摘要

我们定义了多个协整资产的微观价格。这产生了一个公平价格的概念，作为多个订单簿的可观察状态的函数。我们计算了两个高度协整资产的微观价格，使用收集在盈透证券的一级数据。在此基础上设计了一种执行算法，结果表明，该算法可以节省一半的买卖价差成本。本文的代码可以在这里找到:https://github.com/xhshenxin/Micro_Price

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Microstructure of Cointegrated Assets

We define the micro price of multiple cointegrated assets. This yields a notion of fair prices, as a function of the observable state of multiple order books. We compute the microprices of two highly cointegrated assets, using Level-1 data collected on Interactive Brokers. We design an execution algorithm based on this two dimentional microprice and show that it can save half of the bid-ask spread cost.

The code for this paper is available here: https://github.com/xhshenxin/Micro_Price

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Capital Markets: Market Efficiency eJournal

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