伊斯坦布尔证券交易所限价订单到达率与撤单取消率的实证研究
An Empirical Study on Arrival Rates of Limit Orders and Order Cancellation Rates in Borsa Istanbul
摘要：
订单簿动态在交易所市场订单的执行时间和价格形成中起着重要作用。在这项研究中，我们的目标是建立模型的限价订单到达率附近的最佳出价和最佳卖价水平。我们使用Garanti Bank的限价订单簿数据，该银行是伊斯坦布尔证券交易所交易量最大的股票之一。为了模拟每日，每周和每月到达的限价订单数量，三种不同的离散概率分布进行了测试：几何，β-二项式和离散威布尔。此外，还对指数法和幂律法两种理论模型进行了检验。我们的目标是在前15个出价和卖价水平的到达率建模。我们使用L1范数来计算拟合优度统计量。此外，我们研究了前十个出价和卖价水平的每周和每月平均取消率的结构。
英文摘要：
Order book dynamics play an important role in both execution time and price formation of orders in an exchange market. In this study, we aim to model the limit order arrival rates in the vicinity of the best bid and the best ask price levels. We use limit order book data for Garanti Bank, which is one of the most traded stocks in Borsa Istanbul. In order to model the daily, weekly, and monthly arrival of limit order quantities, three different discrete probability distributions are tested: Geometric, Beta-Binomial and Discrete Weibull. Additionally, two theoretical models, namely, Exponential and Power law are also tested. We aim to model the arrival rates in the first fifteen bid and ask price levels. We use L1 norms in order to calculate the goodness-of-fit statistics. Furthermore, we examine the structure of weekly and monthly mean cancellation rates in the first ten bid and ask price levels.
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