英文标题：
《Computational experiments successfully predict the emergence of
  autocorrelations in ultra-high-frequency stock returns》
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作者：
Jian Zhou (ECUST), Gao-Feng Gu (ECUST), Zhi-Qiang Jiang (ECUST), Xiong
  Xiong (TJU), Wei Chen (SZSE), Wei Zhang (TJU), Wei-Xing Zhou (ECUST)
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最新提交年份：
2018
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英文摘要：
  Social and economic systems are complex adaptive systems, in which heterogenous agents interact and evolve in a self-organized manner, and macroscopic laws emerge from microscopic properties. To understand the behaviors of complex systems, computational experiments based on physical and mathematical models provide a useful tools. Here, we perform computational experiments using a phenomenological order-driven model called the modified Mike-Farmer (MMF) to predict the impacts of order flows on the autocorrelations in ultra-high-frequency returns, quantified by Hurst index $H_r$. Three possible determinants embedded in the MMF model are investigated, including the Hurst index $H_s$ of order directions, the Hurst index $H_x$ and the power-law tail index $\\alpha_x$ of the relative prices of placed orders. The computational experiments predict that $H_r$ is negatively correlated with $\\alpha_x$ and $H_x$ and positively correlated with $H_s$. In addition, the values of $\\alpha_x$ and $H_x$ have negligible impacts on $H_r$, whereas $H_s$ exhibits a dominating impact on $H_r$. The predictions of the MMF model on the dependence of $H_r$ upon $H_s$ and $H_x$ are verified by the empirical results obtained from the order flow data of 43 Chinese stocks.
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中文摘要：
社会和经济系统是一个复杂的适应性系统，在这个系统中，异质主体以自组织的方式相互作用和演化，宏观规律来自微观属性。为了理解复杂系统的行为，基于物理和数学模型的计算实验提供了有用的工具。在这里，我们使用一种称为修正Mike Farmer（MMF）的唯象顺序驱动模型进行计算实验，以预测顺序流对超高频收益自相关的影响，该模型由Hurst index$H_r$量化。研究了嵌入MMF模型的三个可能的决定因素，包括订单方向的赫斯特指数$H_s$、下订单相对价格的赫斯特指数$H_x$和幂律尾指数$\\alpha_x$。计算实验预测，$H_r$与$\\alpha_x$和$H_x$呈负相关，与$H_s$呈正相关。此外，$\\alpha_x$和$H_x$的价值对$H_r$的影响微不足道，而$H_s$对$H_r$的影响最大。通过43只中国股票的订单流数据的实证结果，验证了MMF模型对$H_r$对$H_s$和$H_x$依赖性的预测。
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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：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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