流动性如何塑造收益率曲线？
How does liquidity shape the yield curve?
AI总结：
本研究将刚性弹性弦模型扩展为纳入价格与订单流联合动力学的微观结构模型，揭示了流动性对收益率曲线的塑造作用，该模型在参数更少的情况下达到了与现有交叉冲击模型相当的解释力，并解释了短期价格的非鞅行为。
摘要：
远期利率曲线（FRC）的现象学可以通过刚性弹性弦的波动来准确理解（Le Coz和 Bouchaud, 2024）。通过将驱动此类波动的外生冲击与订单流中的意外联系起来，我们将该模型从纯粹描述价格变化提升为纳入价格与订单流联合动力学的微观结构模型，同时考虑了冲击和交叉冲击效应。值得注意的是，该框架在解释力上至少与现有的交叉冲击模型相当，但使用的参数明显更少。此外，我们的模型生成了一个期限的远期利率与另一个期限的订单流之间依赖于流动性的相关性，这与近期的实证发现一致。我们表明，该模型也能解释短期内价格的非鞅行为。
英文摘要：
The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous shocks driving such fluctuations to the surprises in the order flows, we elevate the model from purely describing price variations to a microstructural model that incorporates the joint dynamics of prices and order flows, accounting for both impact and cross-impact effects. Remarkably, this framework allows for at least the same explanatory power as existing cross-impact models, while using significantly fewer parameters. In addition, our model generates liquidity-dependent correlations between the forward rate of one tenor and the order flow of another, consistent with recent empirical findings. We show that the model also account for the non-martingale behavior of prices at short timescales.
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