订单流数据的规律性与扰动性
Regularities and Irregularities in Order Flow Data
摘要：
我们识别并分析了不同纳斯达克股票最近订单流中的统计错误和违规行为，重点关注订单簿中的订单位置。这包括在价差外、价差内和（有效）市价订单下的限价订单。我们发现价差内的限价订单配置是由价差大小的动态变化决定的。然而，大多数订单都在价差之外到达。虽然对于某些股票来说，报价上或报价旁边的订单占主导地位，但更深的价格水平对其他股票更重要。由于市价订单通常根据报价量进行调整，因此市价订单的影响取决于订单结构，我们发现由于限价订单的放置方式，所分析的股票之间存在很大差异。
英文摘要：
We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of the spread, inside the spread and (effective) market orders. We find that limit order placement inside the spread is strongly determined by the dynamics of the spread size. Most orders, however, arrive outside of the spread. While for some stocks order placement on or next to the quotes is dominating, deeper price levels are more important for other stocks. As market orders are usually adjusted to the quote volume, the impact of market orders depends on the orderbook structure, which we find to be quite diverse among the analyzed stocks as a result of the way limit order placement takes place.
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。
