双向拍卖市场买卖价差、冲击与波动性的关系
Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
摘要：
我们表明，市场订单的成本和利润的无穷小做市或采取的策略可以表示在直接观察到的数量，即传播和滞后相关的影响函数。强加任何市场采取或流动性提供策略是最好的边际利润，我们得到的买卖价差和即时的影响市场订单之间的线性关系，在很好的协议与我们的经验观察电子市场。然后，我们用这个关系来证明利差和波动率之间存在一个强有力的、迄今为止尚未被注意到的经验相关性，R^2超过0.9。这种相关性表明，买卖价差的主要决定因素是逆向选择，而且大部分波动性来自贸易影响。我们认为，时间范围的定义中出现的成本的作用是至关重要的，长期的相关性，在以前的研究中被忽视的订单流，必须仔细考虑。我们发现，在纽交所这个流动性很强的市场上，价差要大得多，因为那里有专业人士，而且似乎存在垄断租金。
英文摘要：
We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the spread and the lag-dependent impact function. Imposing that any market taking or liquidity providing strategies is at best marginally profitable, we obtain a linear relation between the bid-ask spread and the instantaneous impact of market orders, in good agreement with our empirical observations on electronic markets. We then use this relation to justify a strong, and hitherto unnoticed, empirical correlation between the spread and the volatility_per trade_, with R^2s exceeding 0.9. This correlation suggests both that the main determinant of the bid-ask spread is adverse selection, and that most of the volatilitycomes from trade impact. We argue that the role of the time-horizon appearing in the definition of costs is crucial and that long-range correlations in the order flow, overlooked in previous studies, must be carefully factored in. We find that the spread is significantly larger on the nyse, a liquid market with specialists, where monopoly rents appear to be present.
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