摘要翻译：
基于订单驱动市场的连续双重拍卖机制，建立了Mike-Farmer模型，成功地再现了股票价格在交易层次上的三次收益定律和扩散行为。然而，在MF模型中，波动率（由绝对收益定义）并没有表现出良好的长记忆性。我们提出了一个改进的MF模型，在此模型中加入了一个新的成分，即进入订单的攻击性（以相对价格来量化）的长记忆性，这是通过分析23只中国流动性股票的订单流而发现的一个重要的程式化事实。DFA标度指数接近0.76的修正MF模型合成的波动率具有长记忆性，同时还产生了收益的立方律和价格的扩散行为。我们还发现，订单信号的长记忆性对波动率的长记忆性没有影响，订单攻击性的记忆效应对股价的扩散性影响很小。
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英文标题：
《Emergence of long memory in stock volatility from a modified Mike-Farmer
  model》
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作者：
Gao-Feng Gu (ECUST), Wei-Xing Zhou (ECUST)
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  The Mike-Farmer (MF) model was constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully reproduce the cubic law of returns and the diffusive behavior of stock prices at the transaction level. However, the volatility (defined by absolute return) in the MF model does not show sound long memory. We propose a modified version of the MF model by including a new ingredient, that is, long memory in the aggressiveness (quantified by the relative prices) of incoming orders, which is an important stylized fact identified by analyzing the order flows of 23 liquid Chinese stocks. Long memory emerges in the volatility synthesized from the modified MF model with the DFA scaling exponent close to 0.76, and the cubic law of returns and the diffusive behavior of prices are also produced at the same time. We also find that the long memory of order signs has no impact on the long memory property of volatility, and the memory effect of order aggressiveness has little impact on the diffusiveness of stock prices.
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PDF链接：
https://arxiv.org/pdf/0807.4639