论文标题
贸易市场中的贸易共发生，贸易流量分解和有条件的订单失衡
Trade Co-occurrence, Trade Flow Decomposition, and Conditional Order Imbalance in Equity Markets
论文作者
论文摘要
高频交易的时间接近时间可能包含一个显着信号。在本文中，我们提出了一种根据与市场在短时间内与市场其他贸易的近距离近似五种类型的方法进行分类的方法。通过与每种类型的贸易相关的适当定义的归一化订单失衡，我们将其表示为条件订单不平衡（COI），我们研究了分解贸易流的价格影响。我们的经验发现表明，同期回报与COI之间的正相关。在可预测性方面，我们记录了与未来回报的关联对与本身以外的其他股票交易隔离的行业的COI呈阳性，否则为负面。此外，我们使用COIS制定的交易策略实现了明显的回报和Sharpe比率，在使用每日数据的457个股票的宇宙进行了广泛的实验设置，使用了四年。
The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a short period of time, into five types. By means of a suitably defined normalized order imbalance associated to each type of trade, which we denote as conditional order imbalance (COI), we investigate the price impact of the decomposed trade flows. Our empirical findings indicate strong positive correlations between contemporaneous returns and COIs. In terms of predictability, we document that associations with future returns are positive for COIs of trades which are isolated from trades of stocks other than themselves, and negative otherwise. Furthermore, trading strategies which we develop using COIs achieve conspicuous returns and Sharpe ratios, in an extensive experimental setup on a universe of 457 stocks using daily data for a period of four years.
