英文标题：
《Mid-price estimation for European corporate bonds: a particle filtering
  approach》
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作者：
Olivier Gu\\\'eant, Jiang Pu
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最新提交年份：
2019
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英文摘要：
  In most illiquid markets, there is no obvious proxy for the market price of an asset. The European corporate bond market is an archetypal example of such an illiquid market where mid-prices can only be estimated with a statistical model. In this OTC market, dealers / market makers only have access, indeed, to partial information about the market. In real time, they know the price associated with their trades on the dealer-to-dealer (D2D) and dealer-to-client (D2C) markets, they know the result of the requests for quotes (RFQ) they answered, and they have access to composite prices (e.g., Bloomberg CBBT). This paper presents a Bayesian method for estimating the mid-price of corporate bonds by using the real-time information available to a dealer. This method relies on recent ideas coming from the particle filtering / sequential Monte-Carlo literature.
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中文摘要：
在大多数非流动性市场中，资产的市场价格没有明显的代表性。欧洲公司债券市场是这种非流动性市场的一个典型例子，在这种市场中，中间价只能用统计模型来估计。在这个OTC市场中，经销商/做市商实际上只能获得有关市场的部分信息。他们实时了解经销商对经销商（D2D）和经销商对客户（D2C）市场上与其交易相关的价格，知道他们回答的报价请求（RFQ）的结果，并可以获得综合价格（如彭博CBBT）。本文提出了一种利用交易商可获得的实时信息估计公司债券中间价的贝叶斯方法。该方法依赖于来自粒子滤波/顺序蒙特卡罗文献的最新想法。
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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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