英文标题：
《Limit-order book resiliency after effective market orders: Spread, depth
  and intensity》
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作者：
Hai-Chuan Xu (ECUST), Wei Chen (SZSE), Xiong Xiong (TJU), Wei Zhang
  (TJU), Wei-Xing Zhou (ECUST) and H Eugene Stanley (BU)
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最新提交年份：
2017
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英文摘要：
  In order-driven markets, limit-order book (LOB) resiliency is an important microscopic indicator of market quality when the order book is hit by a liquidity shock and plays an essential role in the design of optimal submission strategies of large orders. However, the evolutionary behavior of LOB resilience around liquidity shocks is not well understood empirically. Using order flow data sets of Chinese stocks, we quantify and compare the LOB dynamics characterized by the bid-ask spread, the LOB depth and the order intensity surrounding effective market orders with different aggressiveness. We find that traders are more likely to submit effective market orders when the spreads are relatively low, the same-side depth is high, and the opposite-side depth is low. Such phenomenon is especially significant when the initial spread is 1 tick. Although the resiliency patterns show obvious diversity after different types of market orders, the spread and depth can return to the sample average within 20 best limit updates. The price resiliency behavior is dominant after aggressive market orders, while the price continuation behavior is dominant after less-aggressive market orders. Moreover, the effective market orders produce asymmetrical stimulus to limit orders when the initial spreads equal to 1 tick. Under this case, effective buy market orders attract more buy limit orders and effective sell market orders attract more sell limit orders. The resiliency behavior of spread and depth is linked to limit order intensity.
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中文摘要：
在订单驱动的市场中，当订单簿受到流动性冲击时，限额订单簿（LOB）弹性是市场质量的一个重要微观指标，在设计大型订单的最优提交策略中起着至关重要的作用。然而，从经验上看，LOB弹性在流动性冲击下的演化行为并没有得到很好的理解。利用中国股票的订单流数据集，我们量化和比较了以买卖价差、LOB深度和订单强度为特征的LOB动态，这些动态围绕着具有不同攻击性的有效市场订单。我们发现，当价差相对较低、同侧深度较高、对侧深度较低时，交易者更有可能提交有效的市场指令。当初始传播为1滴答时，这种现象尤为显著。尽管在不同类型的市场订单之后，弹性模式表现出明显的多样性，但在20次最佳限额更新后，价差和深度可以恢复到样本平均水平。在积极的市场指令之后，价格弹性行为占主导地位，而在不太积极的市场指令之后，价格持续行为占主导地位。此外，当初始价差等于1滴答时，有效的市场指令会产生不对称刺激来限制指令。在这种情况下，有效的买入市场指令吸引更多的买入限价指令，有效的卖出市场指令吸引更多的卖出限价指令。扩展和深度的弹性行为与限制顺序强度有关。
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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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