Estimating the efficient price from the order flow: A Brownian Cox process approach

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:123

Article

Delattre, Sylvain¹  Robert, Christian Y.²  Rosenbaum, Mathieu³ 

[1] Univ Paris 07, LPMA, F-75221 Paris 05, France

[2] Univ Lyon 1, SAF, F-69622 Villeurbanne, France

[3] Univ Paris 06, LPMA, F-75252 Paris 05, France

关键词: Efficient price;    Order flow;    Response function;    Market microstructure;    Cox processes;    Fractional part of Brownian motion;    Non parametric estimation;    Functional limit theorems;   

DOI  :  10.1016/j.spa.2013.04.012

来源: Elsevier

【 摘 要 】

At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price, etc.). Thus, in practice, market participants face the problem of choosing a price when implementing their strategies. In this work, we propose a notion of efficient price which seems relevant in practice. Furthermore, we provide a statistical methodology enabling to estimate this price from the order flow. (c) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free