摘要翻译：
我们提出了一个关于金融市场成员之间相互交织的行为的实证研究。利用一个可以识别发起订单书事件的经纪人的数据库，我们将相关函数和响应函数分解为来自不同市场参与者的贡献，并研究他们的行为是如何相互联系的。我们发现证据表明：（1）经纪人在流动性提供方面是非常异质性的--一些经纪人一直是流动性提供者，而另一些经纪人一直是流动性接受者。（2）经纪人的行为很大程度上取决于其他经纪人的行为。相比之下，经纪商只受到自己先前订单的微弱影响。（3）市场指令的总影响是同一经纪商向一个方向推动价格，而其他经纪商向相反方向推动价格的流动性提供之间微妙补偿的结果。这些结果强化了市场动态是异质参与者之间竞争的结果，相互作用形成复杂的市场生态。
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英文标题：
《How does the market react to your order flow?》
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作者：
Bence Toth, Zoltan Eisler, Fabrizio Lillo, Julien Kockelkoren,
  Jean-Philippe Bouchaud, J. Doyne Farmer
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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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：
  We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision -- some are consistently liquidity providers while others are consistently liquidity takers. (2) The behaviour of brokers is strongly conditioned on the actions of {\it other} brokers. In contrast brokers are only weakly influenced by the impact of their own previous orders. (3) The total impact of market orders is the result of a subtle compensation between the same broker pushing the price in one direction and the liquidity provision of other brokers pushing it in the opposite direction. These results enforce the picture of market dynamics being the result of the competition between heterogeneous participants interacting to form a complicated market ecology.
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PDF链接：
https://arxiv.org/pdf/1104.0587