委託簿動態之隨機模型量化分析與探討

Quantitative Analysis under a Stochastic Model for Order Book Dynamics

闕銘浚(Ming-chun Chueh)

指導教授 ： 傅承德

國立中央大學/理學院/統計研究所/碩士(2015年)

摘要

目前全球證券交易市場的交易機制主要可區分為兩種市場結構，分別為委託單驅動市場，以及報價驅動市場。本篇論文主要是針對委託單驅動市場的動態過程進行探討，我們引用Cont et al.(2010)提出之對委託簿動態的隨機模型，並藉由此模型模擬委託簿之動態過程。其中，限價單、市價單以及取消限價單的訂單流皆是由獨立的卜瓦松過程來描述，然而，分析模擬過程產生明顯與市場不符的現象，即單位時間區間內，委託簿中的取消限價單量遠大於新提交限價單量。因此，根據Handa and Schwartz (1996)的觀點以及Chen et al.(2010)的分析結果，我們對模型提出一個調整的假設，考慮在限價單到達率函數加上一條類似伽瑪分布之曲線的函數來補足適當的單量，以維持市場上流動性的平衡。最後，我們根據調整過後的模型進行模擬測試，並分析委託簿動態的過程，從而觀察價量關係，並以買賣壓力道的觀點進行量化分析，進而對限價單委託簿提出有效的交易指標，藉由該指標建構交易策略的方法，並以市場VWAP作為策略之評估準則。

關鍵字

限價單委託簿 ； 限價單 ； 市場深度 ； 成交量加權平均價

並列摘要

Trading mechanisms of global securities trading market currently are classified into two market constructions, order driven market and quote driven market, respectively. In our thesis, we explored the dynamic process of order driven market, and quoted the dynamic stochastic model on limit order books proposed by Cont et al. (2010), by which we simulated the dynamic process. Among this, order flows of limit orders, market orders, and cancellations are depicted by independent Poisson process. However, there exits some significant differences between our results and real markets when analyzing the process of simulation, that is, number of cancellations is much more than number of newly placed limit orders in limit order books during unit time interval. Therefore, based on Handa and Schwartz (1996) and Chen et al.(2010), we proposed a modified model to replenish the adequate quantities to balance the liquidity in the market by adding function similar to a curve of gamma distribution on arrival rate function of limit order. At last, we test the simulation on modified model and analyze the dynamic process of limit order book, from which the relation between prices and volumes can be observed. Furthermore, quantified analysis was executed in terms of buying and selling pressure to propose affective trading indices on limit order books, then used these indices to construct some methods for trading strategies, and adopted market VWAP as our criteria of trading strategies.

並列關鍵字

limit order book ； limit order ； market depth ； VWAP

參考文獻

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