英文标题：
《The market nanostructure origin of asset price time reversal asymmetry》
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作者：
Marcus Cordi, Damien Challet, Serge Kassibrakis
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最新提交年份：
2020
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英文摘要：
  We introduce a framework to infer lead-lag networks between the states of elements of complex systems, determined at different timescales. As such networks encode the causal structure of a system, infering lead-lag networks for many pairs of timescales provides a global picture of the mutual influence between timescales. We apply our method to two trader-resolved FX data sets and document strong and complex asymmetric influence of timescales on the structure of lead-lag networks. Expectedly, this asymmetry extends to trader activity: for institutional clients in our dataset, past activity on timescales longer than 3 hours is more correlated with future activity at shorter timescales than the opposite (Zumbach effect), while a reverse Zumbach effect is found for past timescales shorter than 3 hours; retail clients have a totally different, and much more intricate, structure of asymmetric timescale influence. The causality structures are clearly caused by markedly different behaviors of the two types of traders. Hence, market nanostructure, i.e., market dynamics at the individual trader level, provides an unprecedented insight into the causality structure of financial markets, which is much more complex than previously thought.
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中文摘要：
我们引入了一个框架来推断在不同时间尺度下确定的复杂系统元素状态之间的超前-滞后网络。由于此类网络对系统的因果结构进行编码，推断多对时间尺度的超前-滞后网络提供了时间尺度之间相互影响的全局图。我们将我们的方法应用于两个交易员解析的外汇数据集，并记录了时间尺度对超前-滞后网络结构的强烈而复杂的不对称影响。可以预期的是，这种不对称延伸到交易员活动：对于我们数据集中的机构客户，过去在3小时以上的时间尺度上的活动与未来在较短时间尺度上的活动的相关性比相反的时间尺度上的活动更大（祖姆巴赫效应），而过去在3小时以下的时间尺度上发现了相反的祖姆巴赫效应；零售客户有着完全不同的、更为复杂的非对称时间尺度影响结构。因果关系结构显然是由两类交易者明显不同的行为造成的。因此，市场纳米结构，即个体交易者层面的市场动态，为金融市场的因果关系结构提供了前所未有的洞察力，这比以前认为的要复杂得多。
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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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一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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