英文标题：
《The Self-Financing Equation in High Frequency Markets》
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作者：
Rene Carmona and Kevin Webster
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最新提交年份：
2013
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英文摘要：
  High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. The main goal of the paper is to propose continuous time equations which generalize the self-financing relationships of frictionless markets to electronic markets with limit order books. We use NASDAQ ITCH data to identify significant empirical features such as price impact and recovery, rough paths of inventories and vanishing bid-ask spreads. Starting from these features, we identify microscopic identities holding on the trade clock, and through a diffusion limit argument, derive continuous time equations which provide a macroscopic description of properties of the order book. These equations naturally differentiate between trading via limit and market orders. We give several applications (including hedging European options with limit orders, market maker optimal spread choice, and toxicity indexes) to illustrate their impact and how they can be used to the benefit of Low Frequency Traders (LFTs).
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中文摘要：
高频交易（HFT）在所有金融交易中所占的比例越来越大，因为大多数市场现在已经转向电子订单系统。本文的主要目的是提出连续时间方程，将无摩擦市场的自筹资金关系推广到具有限制订单簿的电子市场。我们使用纳斯达克瘙痒数据来确定重要的实证特征，如价格影响和复苏、库存的粗糙路径和消失的买卖价差。从这些特征出发，我们确定了交易时钟上的微观恒等式，并通过扩散极限参数，导出了连续时间方程，该方程提供了订单性质的宏观描述。这些方程式自然会区分通过限价和市场指令进行的交易。我们给出了几个应用程序（包括用限价指令对冲欧式期权、做市商最优价差选择和毒性指数）来说明它们的影响，以及如何利用它们来造福低频交易者（LFT）。
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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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