双边风险过程高频订单流不平衡的泛函极限定理建模
Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
摘要：
提出了一个限价委托书演化的微观模型。在这个模型中，订单（索赔）的流动描述的双随机泊松过程考虑到的随机特性的强度，出价和要价订单，确定在金融市场中的价格发现机制。研究了{ \it订单流不平衡}（OFI）过程。这个过程是限价订单簿当前状态的敏感指标，因为限价订单簿中事件之间的时间间隔通常很短，价格变化相对不频繁。因此，价格变化提供了一个非常粗略和有限的描述市场动态的时间微观尺度。OFI流程跟踪最佳出价和出价队列，并且变化速度比价格快得多。它包含了订单队列的建立和消耗的信息，以便它可以用来插入价格变化之间的市场动态，并跟踪订单流的毒性。提出了{ \it双边风险过程}作为OFI过程的数学模型。
英文摘要：
A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of bid and ask orders that determine the price discovery mechanism in financial markets. The process of {\it order flow imbalance} (OFI) is studied. This process is a sensitive indicator of the current state of the limit order book since time intervals between events in a limit order book are usually so short that price changes are relatively infrequent events. Therefore price changes provide a very coarse and limited description of market dynamics at time micro-scales. The OFI process tracks best bid and ask queues and change much faster than prices. It incorporates information about build-ups and depletions of order queues so that it can be used to interpolate market dynamics between price changes and to track the toxicity of order flows. The {\it two-sided risk processes} are suggested as mathematical models of the OFI process.
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