趋势套利、买卖价差与市场动态
Trend arbitrage, bid-ask spread and market dynamics
摘要：
通过对最低报价数据的分析，研究了市场动态的微观结构。线性趋势被引入作为这种分析的工具。发展并检验了趋势套利不等式。该不等式建立了趋势、买卖价差、市场反应与价格信息平均更新频率之间的限制关系。市场反应的平均时间是根据市场数据来衡量的。该参数被解释为股票交易所的恒定值，并归因于交易所对交易员行为的反应的延迟。这种延迟和交易成本被证明是买卖价差的主要限制。数据分析也显示了趋势、买卖价差和价格更新过程平均频率之间的一些关系。
英文摘要：
Microstructure of market dynamics is studied through analysis of tick price data. Linear trend is introduced as a tool for such analysis. Trend arbitrage inequality is developed and tested. The inequality sets limiting relationship between trend, bid-ask spread, market reaction and average update frequency of price information. Average time of market reaction is measured from market data. This parameter is interpreted as a constant value of the stock exchange and is attributed to the latency of exchange reaction to actions of traders. This latency and cost of trade are shown to be the main limit of bid-ask spread. Data analysis also suggests some relationships between trend, bid-ask spread and average frequency of price update process.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
