英文标题：
《How spread changes affect the order book: Comparing the price responses
  of order deletions and placements to trades》
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作者：
Stephan Grimm, Thomas Guhr
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最新提交年份：
2018
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英文摘要：
  We observe the effects of the three different events that cause spread changes in the order book, namely trades, deletions and placement of limit orders. By looking at the frequencies of the relative amounts of price changing events, we discover that deletions of orders open the bid-ask spread of a stock more often than trades do. We see that once the amount of spread changes due to deletions exceeds the amount of the ones due to trades, other observables in the order book change as well. We then look at how these spread changing events affect the prices of stocks, by means of the price response. We not only see that the self-response of stocks is positive for both spread changing trades and deletions and negative for order placements, but also cross-response to other stocks and therefore the market as a whole. In addition, the self-response function of spread-changing trades is similar to that of all trades. This leads to the conclusion that spread changing deletions and order placements have a similar effect on the order book and stock prices over time as trades.
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中文摘要：
我们观察了导致指令簿价差变化的三个不同事件的影响，即交易、删除和下达限额指令。通过观察价格变化事件相对数量的频率，我们发现，订单的删除比交易更频繁地打开了股票的买卖价差。我们发现，一旦因删除而导致的价差变化量超过因交易而导致的价差变化量，订单簿中的其他可见值也会发生变化。然后，我们通过价格响应来研究这些价差变化事件是如何影响股票价格的。我们不仅看到股票的自我反应对价差变动交易和减持都是积极的，对下单都是消极的，而且对其他股票以及整个市场都是交叉反应。此外，价差变动交易的自我反应功能与所有交易的自我反应功能相似。这就得出结论，随着时间的推移，价差变化的删除和订单投放对订单簿和股票价格的影响与交易类似。
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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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