英文标题：
《Simulating and analyzing order book data: The queue-reactive model》
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作者：
Weibing Huang, Charles-Albert Lehalle and Mathieu Rosenbaum
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最新提交年份：
2014
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英文摘要：
  Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do so, we split the time interval of interest into periods in which a well chosen reference price, typically the mid price, remains constant. Within these periods, we view the limit order book as a Markov queuing system. Indeed, we assume that the intensities of the order flows only depend on the current state of the order book. We establish the limiting behavior of this model and estimate its parameters from market data. Then, in order to design a relevant model for the whole period of interest, we use a stochastic mechanism that allows for switches from one period of constant reference price to another. Beyond enabling to reproduce accurately the behavior of market data, we show that our framework can be very useful for practitioners, notably as a market simulator or as a tool for the transaction cost analysis of complex trading algorithms.
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中文摘要：
通过对超高频订单簿更新数据集的分析，我们引入了一个模型，该模型考虑了全订单簿的经验特性以及低频金融数据的程式化事实。为了做到这一点，我们将利息的时间间隔分割为一个精心选择的参考价格（通常是中间价格）保持不变的时段。在这些时间段内，我们将限价订单簿视为一个马尔可夫排队系统。实际上，我们假设订单流的强度只取决于订单簿的当前状态。我们建立了该模型的极限行为，并根据市场数据估计其参数。然后，为了设计整个利息期的相关模型，我们使用了一种随机机制，允许从一个恒定参考价格期切换到另一个恒定参考价格期。除了能够准确再现市场数据的行为外，我们还表明，我们的框架对从业者非常有用，尤其是作为市场模拟器或复杂交易算法的交易成本分析工具。
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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：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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