摘要翻译：
股票市场中的订单流是显著持续的，因为订单签署（买入或卖出）与数万个订单的时间滞后呈正自相关，对应于许多天。两种可能的解释是：羊群效应，对应于不同投资者行为的正相关；顺序分裂，对应于单一投资者行为的正自相关。我们使用来自伦敦证券交易所的订单流数据对此进行调查，我们对该数据有成员身份标识符。通过建立羊群效应模型和订单分裂模型，以及券商选择模型，我们能够克服券商引入的扭曲。在不到几个小时的时间尺度上，订单流的持续存在主要是由于分裂而不是羊群。我们还研究了经纪业务订单流的性质，表明它在横向和纵向上都是显著一致的。
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英文标题：
《Why is order flow so persistent?》
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作者：
Bence Toth, Imon Palit, Fabrizio Lillo, J. Doyne Farmer
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最新提交年份：
2014
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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：Statistical Mechanics        统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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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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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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英文摘要：
  Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior of different investors, or order splitting, corresponding to positive autocorrelation in the behavior of single investors. We investigate this using order flow data from the London Stock Exchange for which we have membership identifiers. By formulating models for herding and order splitting, as well as models for brokerage choice, we are able to overcome the distortion introduced by brokerage. On timescales of less than a few hours the persistence of order flow is overwhelmingly due to splitting rather than herding. We also study the properties of brokerage order flow and show that it is remarkably consistent both cross-sectionally and longitudinally.
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PDF链接：
https://arxiv.org/pdf/1108.1632