| 中文简介: |
有效市场理论认为，市场价格在任何时刻都反映着资产的基本价值，只有当不可预测的消息或其他信息项目影响到资产的基本价值时，市场价格才会发生变化。如果这是真的，那么系统的定量策略就不应该奏效。当然，这幅画不能严格地把握住。首先，有人应该处理信息，并将价格推向其假定的真实价值。在高频交易中，至少应该存在某种固定和套利机会。为了剖析这些可能的错误定价机制，并设计出有利可图的高频交易和执行模型，对订单流和订单簿的详细研究已成为必要。物理学一样,详细了解宏观现象的微观世界提供了宝贵的洞察力,我们相信一个一致的画面的组织机制将有助于客观的一些传统的关于市场和价格的问题,如:“价格;价格平衡吗?”,“价格,这些价格的信息内容是什么?”,或“;为什么波动如此之高?”;。它还允许优化执行成本，对于大型AUMs来说，这主要是由于影响。实证数据揭示了一个出人意料的微妙的价格形成机制。顺序流是一个高持久性、长内存的进程，在符号和卷方面都是如此。这反映了一个事实，即即使在流动性非常强的市场上，所披露的流动性实际上也是非常小的(通常只占股票市值的0.001%)。大宗买卖订单只能以增量方式进行交易，交易周期最长可达数月。因此，价格不可能瞬间处于均衡状态，也不可能瞬间反映所有可用信息。潜在报价和潜在需求之间几乎总是有一个巨大的平衡，而这种平衡只会缓慢地融入价格之中。保持与市场效率的兼容性对价格形成、流动性动态和影响的性质都有深远的影响。在匿名的电子市场上，信息和信息之间没有任何区别。交易和“;uninformed”交易。所有交易的平均影响必须是相同的，这意味着影响必须有一个机械的起源:如果一切保持不变，一个额外的买方(卖方)的出现必须平均上移动价格(下)。最近提出了一套对市场影响、买卖价差、订单动态和波动性的成交量和滞后依赖进行详细定量预测的理论[1,2,3,4]。该框架允许使用依赖于时间(非本地)的摩擦核建立执行成本的定量模型。它还提出了对财务信息的一种新的解释。理性预期和有效市场理论日益强调信息，轻视供求的作用，这与交易者和外行的直觉是矛盾的。我们最近关于新闻在价格上涨中的作用的研究也表明，传统意义上的信息并不是市场波动的主要驱动因素。相反，我们强调供求波动的作用，它可能是或不是外生的，也可能是或不是知情的;这并不重要。试图事后估计真正知情交易的比例，实际上会导致非常小的数字，至少在短时间内是如此，这意味着知情交易的概念对于理解高频市场上发生的事情并不是非常有用。但即便如此，即便是在非常短的时间内，价格也几乎完全不可预测。结论是，任何有用的信息概念都必须是市场内部的:交易、订单流、取消都是信息，不管这些事件的最终原因是什么。
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| 课程简介: |
Efficient market theory posits that market prices reflect at any instant of time the fundamental value of assets, and can only change because of unpredictable news or other information items that affect this fundamental value. If true, well, systematic quantitative strategies should not work. But of course this picture cannot strictly hold – for one thing someone should process information and push the price towards its putative true value. There should be at least some kind of tatonnement and arbitrage opportunities at high frequencies. In order to dissect these possible mispricing mechanisms and to devise profitable high frequency trading and execution models, the detailed study of order flow and order books has become mandatory. Much as in physics, where the detailed understanding of the microscopic world provides invaluable insight on macroscopic phenomena, we believe that a consistent picture of the microstructure mechanisms will help put in perspective some of the traditional questions about markets and prices, such as: “Are prices in equilibrium?”, “What is the information content of these prices?”, or “Why is the volatility so high?”. It will also allow one to optimize execution costs, which for large AUMs is mostly due to impact. Empirical data reveals an unexpectedly subtle price formation mechanism. Order flow turns out to be a highly persistent, long memory process, both in sign and volume. This reflects the fact that even on very liquid markets, the revealed liquidity is in fact extremely small (typically 0.001% of the market cap of a stock). Large orders to buy or sell can only be traded incrementally, over periods of time as long as months. Hence prices cannot be instantaneously in equilibrium, and cannot instantaneously reflect all available information. There is nearly always a substantial offset between latent offer and latent demand that only slowly gets incorporated in prices. Maintaining compatibility with market efficiency has profound consequences on price formation, on the dynamics of liquidity, and on the nature of impact. On anonymous, electronic markets, there cannot be any distinction between “informed” trades and “uninformed” trades. The average impact of all trades must be the same, which means that impact must have a mechanical origin: if everything is otherwise held constant, the appearance of an extra buyer (seller) must on average move the price up (down). A body of theory that makes detailed quantitative predictions about the volume and lag dependence of market impact, the bid-ask spread, order book dynamics, and volatility has been recently put forth [1,2,3,4]. This framework allows one to make quantitative models of execution costs in terms of a time dependent (non-local) friction kernel. It also suggests a novel interpretation of financial information. The theory of rational expectations and efficient markets has increasingly emphasized information and belittled the role of supply and demand, in contradiction with the intuition of traders and of the layman. Our recent work on the role of news on price jumps [5] also shows that information in the traditional sense is not the main driver of market volatility. Rather, we highlight the role of fluctuations in supply and demand, which may or may not be exogenous, and may or may not be informed – it does not really matter. Attempts to estimate ex-post the fraction of truly informed trades actually leads to very small numbers, at least judged on a short time basis, meaning that the concept of informed trades is not very useful to understand what is going on in markets at high frequencies. But still, prices manage to be almost perfectly unpredictable, even on very short time scales. The conclusion is that any useful notion of information must be internal to the market: trades, order flow, cancellations are information, whatever the final cause of these events may be.
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