论文标题
限制订单簿（LOB）形状建模在存在异质知情的市场参与者的情况下建模
Limit Order Book (LOB) shape modeling in presence of heterogeneously informed market participants
论文作者
论文摘要
限制订单簿的建模与对真实市场参与者行为的假设直接相关。本文是双重的。我们首先提出了经验发现，这为这些模型提供了两种改进的基础。第一个与市场参与者相关的是，通过添加知情做市商的额外维度，而第二，也许是更多原始的尺寸，解决了知情交易者和知情的做市商之间的竞赛。 也就是说，我们为订单书建立了一个基于代理的模型，该模型与四种类型的市场参与者：知情的交易者，噪音交易者，知情的做市商和噪音做市商。我们基于Glosten-Milgrom方法和最新的Huang-Rosenbaum-Saliba方法来构建模型。我们介绍了一个参数，以捕获有关资产基本价值的新信息，捕获知情流动性交易者与供应商之间的种族。然后，我们从代理商之间的交互中得出了整个“静态”限制订单及其特征（即以每个级别的价格出价的差异和可用的销量），并将其与先前的模型进行比较。然后，我们讨论噪音交易者对资产基本价值产生影响并扩展模型以考虑多种知情做市商的情况。
The modeling of the limit order book is directly related to the assumptions on the behavior of real market participants. This paper is twofold. We first present empirical findings that lay the ground for two improvements to these models.The first one is concerned with market participants by adding the additional dimension of informed market makers, whereas the second, and maybe more original one, addresses the race in the book between informed traders and informed market makers leading to different shapes of the order book. Namely we build an agent-based model for the order book with four types of market participants: informed trader, noise trader, informed market makers and noise market makers. We build our model based on the Glosten-Milgrom approach and the most recent Huang-Rosenbaum-Saliba approach. We introduce a parameter capturing the race between informed liquidity traders and suppliers after a new information on the fundamental value of the asset. We then derive the whole 'static' limit order book and its characteristics -- namely the bid-ask spread and volumes available at each level price -- from the interactions between the agents and compare it with the pre-existing model. We then discuss the case where noise traders have an impact on the fundamental value of the asset and extend the model to take into account many kinds of informed market makers.
