英文标题：
《Limit Order Strategic Placement with Adverse Selection Risk and the Role
  of Latency》
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作者：
Charles-Albert Lehalle and Othmane Mounjid
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最新提交年份：
2018
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英文摘要：
  This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop a theoretical stochastic control framework to provide details on how one can exploit his knowledge on liquidity imbalance to control a limit order. We emphasis the exposure to adverse selection, of paramount importance for limit orders. For a participant buying using a limit order: if the price has chances to go down the probability to be filled is high but it is better to wait a little more before the trade to obtain a better price. In a third part we show how the added value of exploiting a knowledge on liquidity imbalance is eroded by latency: being able to predict future liquidity consuming flows is of less use if you have not enough time to cancel and reinsert your limit orders. There is thus a rational for market makers to be as fast as possible as a protection to adverse selection. Thanks to our optimal framework we can measure the added value of latency to limit orders placement.   To authors\' knowledge this paper is the first to make the connection between empirical evidences, a stochastic framework for limit orders including adverse selection, and the cost of latency. Our work is a first stone to shed light on the roles of latency and adverse selection for limit order placement, within an accurate stochastic control framework.
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中文摘要：
本文分为三个部分：首先，我们使用标记的交易数据来展示市场参与者如何接受或不接受作为流动性失衡函数的限额指令交易；然后，我们开发了一个理论随机控制框架，以提供如何利用其流动性失衡知识来控制限额指令的详细信息。我们强调不利选择的风险敞口，这对于限额订单至关重要。对于使用限价订单进行购买的参与者：如果价格有机会下跌，则被填补的可能性很高，但最好在交易之前再等待一段时间，以获得更好的价格。在第三部分中，我们展示了利用流动性失衡知识的附加值是如何被延迟侵蚀的：如果您没有足够的时间取消和重新插入限额指令，那么能够预测未来的流动性消耗流就没有多大用处。因此，做市商有理由尽可能快地保护逆向选择。由于我们的最佳框架，我们可以衡量延迟的附加值，以限制订单的下达。据作者所知，本文首次将经验证据、包括逆向选择在内的限制订单随机框架与延迟成本联系起来。我们的工作是在一个精确的随机控制框架内阐明延迟和逆向选择在限价订单安排中的作用的第一块石头。
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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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