论文标题
贝叶斯关于价格形成过程的观点
A Bayesian viewpoint on the price formation process
论文作者
论文摘要
我们介绍了一个简单的框架，在该框架中，市场参与者通过基于模型的学习过程更新了先前的有效价格。我们表明，在这种情况下，自然出现了积极命令到达的指数强度。我们的方法使我们能够以布朗的有效价格和知情的市场移民充分描述市场动态。我们还能够重新审视由于荟萃分裂而引起的市场影响的出现，与现有文献建立了多种联系。
We introduce a simple framework in which market participants update their prior about an efficient price with a model-based learning process. We show that exponential intensities for the arrival of aggressive orders arise naturally in this setting. Our approach allows us to fully describe market dynamics in the case with Brownian efficient price and informed market takers. We are also able to revisit the emergence of market impact due to meta-order splitting, making several connections with existing literature.
