英文标题：
《Large large-trader activity weakens the long memory of limit order
  markets》
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作者：
Kevin Primicerio, Damien Challet
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最新提交年份：
2018
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英文摘要：
  Using more than 6.7 billions of trades, we explore how the tick-by-tick dynamics of limit order books depends on the aggregate actions of large investment funds on a much larger (quarterly) timescale. In particular, we find that the well-established long memory of market order signs is markedly weaker when large investment funds trade either in a directional way and even weaker when their aggregate participation ratio is large. Conversely, we investigate to what respect a weaker memory of market order signs predicts that an asset is being actively traded by large funds. Theoretical arguments suggest two simple mechanisms that contribute to the observed effect: a larger number of active meta-orders and a modification of the distribution of size of meta-orders. Empirical evidence suggests that the number of active meta-orders is the most important contributor to the loss of market order sign memory.
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中文摘要：
我们使用了67亿多笔交易，探索了限额指令簿的逐笔动态如何在更大（季度）的时间尺度上取决于大型投资基金的总体行动。特别是，我们发现，当大型投资基金以定向方式进行交易时，市场秩序迹象的长期记忆明显较弱，当其总参与率较大时，这种记忆甚至较弱。相反，我们调查了市场秩序迹象记忆减弱在哪些方面预示着大型基金正在积极交易资产。理论论证表明，两种简单的机制有助于观察到的效应：大量的活动元序和元序大小分布的改变。经验证据表明，活跃元指令的数量是导致市场指令符号记忆丧失的最重要因素。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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