英文标题：
《The Long Memory of Order Flow in the Foreign Exchange Spot Market》
---
作者：
Martin D. Gould and Mason A. Porter and Sam D. Howison
---
最新提交年份：
2015
---
英文摘要：
  We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in contrast to existing empirical studies of other markets, our data enables us to perform statistically stable estimation without needing to aggregate data from different trading days. We find strong evidence of long memory, with a Hurst exponent of approximately 0.7, for each of the three currency pairs and on each trading day in our sample. We repeat our calculations using data that spans different trading days, and we find no significant differences in our results. We test and reject the hypothesis that the apparent long memory of order flow is an artifact caused by structural breaks, in favour of the alternative hypothesis of true long memory. We therefore conclude that the long memory of order flow in the FX spot market is a robust empirical property that persists across daily boundaries.
---
中文摘要：
我们在外汇现货市场的大型电子交易平台上研究了三种流动货币对的长记忆订单流。由于平台上的市场活动水平极高，与其他市场的现有实证研究相比，我们的数据使我们能够进行统计上稳定的估计，而无需汇总不同交易日的数据。在我们的样本中，三种货币对中的每一种以及每个交易日，我们都发现了长记忆的有力证据，赫斯特指数约为0.7。我们使用跨越不同交易日的数据重复计算，结果没有显著差异。我们检验并否定了顺序流的表观长记忆是由结构断裂引起的伪影的假设，支持真实长记忆的替代假设。因此，我们得出结论，外汇现货市场中订单流的长期记忆是一种强大的经验性质，它持续存在于每日边界。
---
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
--
一级分类：Physics        物理学
二级分类：Adaptation and Self-Organizing Systems        自适应和自组织系统
分类描述：Adaptation, self-organizing systems, statistical physics, fluctuating systems, stochastic processes, interacting particle systems, machine learning
自适应，自组织系统，统计物理，波动系统，随机过程，相互作用粒子系统，机器学习
--
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。
--
一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
--

---
PDF下载：
-->