发表机构
Miralta Finance Bank S.A.; University of Reading; Albert School（米尔塔金融银行股份公司; 雷丁大学; 阿尔伯特学院）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本文提出投资组合选择表征高成本变更促成持续订单流的机制，通过分析异质驻留时间等建立联合约束，经模拟量化错配权重扭曲，形成可验证执行成本模型适用性的实证协议。
AI 中文摘要
本文提出一种机制，即投资组合选择所用表征的高成本变更可促成持续的带符号订单流。异质切换阈值与机会波动率产生异质驻留时间，更新聚合将其执行加权尾部映射至总流协方差的衰减。在常规执行权重下，同一尾部决定表征持续时间的指数、订单流记忆指数及有限市场标度必须终止的期限。首达更新分析确立这些联合约束。结构模拟从已实现路径中恢复它们，量化错配权重造成的扭曲，并展示有限横截面如何缩短可用推断期限。所得实证协议将总持续性拟合转换为跨数据集约束，可确定基于持续时间的核是否适用于独立的执行成本模型。
英文摘要
This paper develops a mechanism through which costly changes in the representations used for portfolio choice can contribute to persistent signed order flow. Heterogeneous switching thresholds and opportunity volatility generate heterogeneous residence times, and renewal aggregation maps their execution-weighted tail into the decay of aggregate flow covariance. Under common execution weights, the same tail determines the exponent of representation-spell durations, the order-flow memory exponent, and the horizon at which finite-market scaling must end. First-passage renewal analysis establishes these joint restrictions. Structural simulations recover them from realized paths, quantify the distortion created by mismatched weights, and show how finite cross sections shorten the usable inference horizon. The resulting empirical protocol converts an aggregate persistence fit into cross-dataset restrictions that can determine whether a duration-based kernel is suitable for a separate execution-cost model.
Comments28 Pages, 2 Figures, 2 Tables
