Relationships between market impact characteristics and order book properties

被引：0
作者：
Yamada, Kenta [1 ,2 ]
Mizuno, Takayuki [1 ,3 ]
机构：
[1] Natl Inst Informat, Res Ctr Financial Smart Data, Tokyo, Japan
[2] Japan Sci & Technol Agcy, Precursory Res Embryon Sci & Technol, Saitama, Japan
[3] SOKENDAI, Dept Informat, Tokyo, Japan
来源：
2017 IEEE INTERNATIONAL CONFERENCE ON BIG DATA (BIG DATA) | 2017年
关键词：
order book; market impact; transaction cost; market micro structure; PRICE-IMPACT; SIMPLE-MODEL; DYNAMICS; FLUCTUATIONS; INFORMATION; SECURITIES; EXCHANGE;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
We analyzed the historical data set of the Tokyo Stock Exchange (TSE) for a 17-month period from August 2014 to December 2015 which includes every transaction and order book snapshot, and found two major relationships: (i) a proportional relationship between the return of the market price and the order imbalance of the executed volume, and (ii) an inverse proportional relationship between the market impact and the averaged order book volume. In this analysis, we focus on daily and monthly time scale. We also introduce estimation results of transaction costs for a practical application of our studies.
引用
收藏
页码：3156 / 3161
页数：6
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