事件时间订单流记忆、操作时间影响与从属市场可观测变量
Event-Time Order-Flow Memory, Operational-Time Impact, and Subordinated Market Observables
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中文总结 AI 辅助
本文通过分离事件时间与操作时间，统一解释了交易符号长记忆与元订单平方根影响定律，提出时钟感知的订单簿框架。
中文摘要 AI 辅助
我们考虑两个经典的市场微观结构规律：交易符号的长记忆性和元订单影响的平方根定律。重点不在于提出新的经验法则，而在于区分现有定律所定义的时钟。符号记忆定律是关于隐藏订单排序和碎片化的事件时间陈述。平方根影响定律是关于局部线性潜在订单簿中前沿运动的操作时间陈述。从一个具有独立事件时钟的离散时间随机游走买卖报价反应-扩散订单簿出发，我们识别出事件时间不平衡减少，推导出局部线性区域内的操作时间前沿和影响方程，然后将符号和影响可观测变量都从属于日历时间。分数或阻尼时钟效应通过这种事件到日历的投影进入，而不是通过不同的操作时间影响机制。这提供了一个紧凑的时钟感知框架，其中事件时间符号持续性、操作时间平方根影响和异常日历时间效应表现为共同订单簿表示的不同但兼容的后果。
英文摘要
We consider two canonical market-microstructure regularities: the long-memory of trade signs and the square-root law of meta-order impact. The point is not to propose new empirical laws, but to separate the clocks on which existing laws are defined. The sign-memory law is an event-time statement about the ordering and fragmentation of hidden orders. The square-root impact law is an operational-time statement about front motion in a locally linear latent order book. Starting from a discrete-time random-walk bid/ask reaction--diffusion order book with a separate event clock, we identify an event-time imbalance reduction, derive the operational-time front and impact equations in the locally linear regime, and then subordinate both sign and impact observables to calendar time. Fractional or tempered clock effects enter through this event-to-calendar projection, not through a different operational-time impact mechanism. This gives a compact clock-aware framework in which event-time sign persistence, operational-time square-root impact, and anomalous calendar-time effects appear as distinct but compatible consequences of a common order-book representation.
发表机构
- University of New South Wales（新南威尔士大学）
- University of Cape Town（开普敦大学）
机构由 AI 辅助整理，请以论文原文为准。
