限价单市场中隐订单流的价格影响研究-research on price impact of hidden order flow in price limit order market.docxVIP

万方数据 万方数据 ABSTRACT In stock market, the hidden order traders are usually liquidity takers. The counterparties’ behavior, which means liquidity providers’ order submission behavior, will definitely have non-trivial impact on the trading and the price impact. Of course, this kind of impact is exerted indirectly through the order book profile or order book depth. Based on this idea, this paper studies how the price impact of hidden orders depend on the limit order placement behavior. And then we provide an unified explanation frame from the perspective of liquidity. First we build an agent-based model with hidden order trading. We also design three liquidity providing styles, namely limit order uniform placement, limit order correlated placement and limit order power-law placement. And then, we simulated the order book properties under these three liquidity providing assumption. We find that, ⑴ In cases of limit order uniform placement and limit order correlated placement, there will show an increasing average order book along the relative price. In other words, the shares at the best tend to “liquidity hole”, the shares near the best increase in the linear way, and the shares far away from the best tend to a stable value. Meanwhile, the average order book is asymmetric. When the market price is in rising stage, sell order book depth increases faster than buy order book depth along the relative price axis. On the contrary, when the market price is in downward stage, buy order book depth increases faster than sell order book depth along the relative price axis. Besides, the shares at the best are power law distributed with the decay exponent equal to -1.5. Furthermore, in case of limit order correlated placement, the shares distribution at the best decay slower than the case of limit order uniform placement. ⑵ In case of limit order power-law placement, the average order book profile is totally different from the other two cases. Under power law assumption,