英文标题：
《Regularities and Irregularities in Order Flow Data》
---
作者：
Martin Theissen, Sebastian M. Krause and Thomas Guhr
---
最新提交年份：
2017
---
英文摘要：
  We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of the spread, inside the spread and (effective) market orders. We find that limit order placement inside the spread is strongly determined by the dynamics of the spread size. Most orders, however, arrive outside of the spread. While for some stocks order placement on or next to the quotes is dominating, deeper price levels are more important for other stocks. As market orders are usually adjusted to the quote volume, the impact of market orders depends on the orderbook structure, which we find to be quite diverse among the analyzed stocks as a result of the way limit order placement takes place.
---
中文摘要：
我们识别并分析不同纳斯达克股票最近订单流中的统计规律性和不规则性，重点关注订单簿中的订单位置。这包括在价差外、价差内和（有效）市场订单下的限额订单。我们发现，价差内的极限订单安排在很大程度上取决于价差大小的动态。然而，大多数订单都是在价差之外到达的。虽然对一些股票而言，报价上或报价旁边的订单安排占主导地位，但对其他股票而言，更深的价格水平更为重要。由于市场订单通常根据报价量进行调整，市场订单的影响取决于订单簿结构，我们发现，由于限额订单安排的方式，在分析的股票中，订单簿结构差异很大。
---
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：Statistics        统计学
二级分类：Machine Learning        机器学习
分类描述：Covers machine learning papers (supervised, unsupervised, semi-supervised learning, graphical models, reinforcement learning, bandits, high dimensional inference, etc.) with a statistical or theoretical grounding
覆盖机器学习论文（监督，无监督，半监督学习，图形模型，强化学习，强盗，高维推理等）与统计或理论基础
--

---
PDF下载：
-->