订单攻击性的相关分析

ERN: Foreign Exchange Order Flows (Topic) Pub Date : 2006-06-27 DOI:10.2139/ssrn.2983834

Cumhur Ekinci

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引用次数: 0

摘要

本文从时间、价格和数量三个主要概念出发，给出了订单攻击性的新定义。利用重构限价订单衍生的原始数据集的相关性，我们分析了一方的积极程度对交易双方的积极程度的影响。此外，我们提供了进一步的证据日内影响的订单和交易。

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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A Correlation Analysis of Order Aggressiveness

We give a new definition of order aggressiveness based jointly on three major concepts: time, price and quantity. Using correlations on an original dataset derived by reconstructing limit order book, we analyze to what level aggressiveness on one side affects the aggressiveness on both sides of trading. Besides, we provide further evidence of intraday effects in orders and trades.

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来源期刊

ERN: Foreign Exchange Order Flows (Topic)

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