买卖价差偏差持续时间的生存模型
Survival Models for the Duration of Bid-Ask Spread Deviations
摘要：
许多常用的流动性指标是基于限价订单簿（LOB）状态的快照，因此只能提供有关瞬时流动性的信息，而不能提供有关当地流动性制度的信息。然而，LOB交易的特点是许多日内流动性冲击，其中LOB通常在短时间内恢复。在本文中，我们捕捉这个动态方面的流动性，使用生存回归框架，其中的变量的兴趣是持续时间的偏差，从一个预先指定的水平的蔓延。我们探索了大量的模型结构，使用分支定界子集选择算法，并说明了我们的模型的解释性能。
英文摘要：
Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in the LOB is characterised by many intra-day liquidity shocks, where the LOB generally recovers after a short period of time. In this paper, we capture this dynamic aspect of liquidity using a survival regression framework, where the variable of interest is the duration of the deviations of the spread from a pre-specified level. We explore a large number of model structures using a branch-and-bound subset selection algorithm and illustrate the explanatory performance of our model.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
