028-05

第28回研究会

東京証券取引所における注文分割行動に関する戦略クラスタリング†

著者†

佐藤優輝, 金澤輝代士(筑波大学)

概要†

High-quality data in financial markets have recently enabled researchers to analyse the market microstructure in detail. In this presentation, we focus on the persistence of the order flows (called the long-range correlation (LRC) in the literature) and study its origin by data analyses. One of the promising hypotheses to explain the origin of the LRC is the order-splitting behaviour of individual traders: several traders have large potential metaorders and split them into a long sequence of small child orders. Lillo, Mike, and Farmer mathematically formulated this hypothesis in 2005 as the LMF model from the microscopic dynamics. However, there has been no quantitative verification of the prediction of the LMF model so far. To confirm the LMF prediction, we have studied the order-splitting behaviour of individual traders. We finally discuss the validity of the LMF model from the viewpoint of microscopic data analyses.

キーワード†

Market microstructure, long-range correlation, limit order book, market liquidity

論文†

05_SIG-FIN-28.pdf