英文标题：
《Instantaneous order impact and high-frequency strategy optimization in
  limit order books》
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作者：
Federico Gonzalez and Mark Schervish
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最新提交年份：
2017
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英文摘要：
  We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and the shape of the LOB. We present an empirical analysis showing that the type of the last order significantly alters the submission rate of immediate future orders, even after accounting for the state of the LOB. To model these effects jointly we introduce a discrete Markov chain model. Then on these improved LOB dynamics, we find the policy for optimal order choice and placement in the share purchasing problem by framing it as a Markov decision process. The optimal policy derived numerically uses limit orders, cancellations and market orders. It looks to exploit the state of the LOB summarized by the volume at the bid/ask and the type of the most recent order to obtain the best execution price, avoiding non-execution and adverse selection risk simultaneously. Market orders are used aggressively when the mid-price is expected to move adversely. Limit orders are placed under favorable LOB conditions and canceled when non-execution or adverse selection probability is high. Using ultra high-frequency data from the NASDAQ stock exchange we compare our optimal policy with other submission strategies that use a subset of all available order types and show that ours significantly outperforms them.
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中文摘要：
我们提出了一个具有动态性的限额订单簿（LOB）模型，该模型考虑了最近订单的影响和LOB的形状。我们提供的实证分析表明，即使在考虑LOB的状态后，最后订单的类型也会显著改变近期订单的提交率。为了联合建模这些影响，我们引入了离散马尔可夫链模型。然后，在这些改进的LOB动力学上，我们通过将股票购买问题描述为马尔可夫决策过程，找到了股票购买问题中的最优订单选择和布局策略。数值推导的最优策略使用限制订单、取消订单和市场订单。它希望利用LOB的状态，通过买卖量和最近订单的类型总结，以获得最佳执行价格，同时避免未执行和逆向选择风险。预计中间价将出现不利走势时，市场订单将被大量使用。限额订单是在有利的LOB条件下下达的，当不执行或逆向选择概率较高时取消。使用纳斯达克证券交易所的超高频数据，我们将我们的最优策略与使用所有可用订单类型子集的其他提交策略进行了比较，结果表明，我们的策略明显优于它们。
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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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