深度学习、指令成交概率与交易成本  

Deep learning,probability of order execution and trading costs

作　　者：刘志东[1] 杨濯 LIU Zhidong;YANG Zhuo(School of Management Science and Engineering,Central University of Finance and Economics,Beijing 100081,China)

机构地区：[1]中央财经大学管理科学与工程学院,北京100081

出　　处：《系统工程理论与实践》2024年第10期3238-3260,共23页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71971226,72331010)。

摘　　要：为了深入探究高频市场微观结构下交易成本的影响机制,本文利用深交所逐笔高频数据重构了时变限价指令簿.基于生存分析模型和深度学习方法,本文全面考虑了指令特征以及指令簿整体特性对限价指令成交概率的影响,并据此测算了不同市场状态下限价指令的交易成本.其次,本文在Maglaras成本冲击模型的基础上进行了拓展,引入了指令流信息测度指标,并深入探讨了市场微观结构变量对交易成本的影响机制.实证结果表明:在微观层面上,成交信息对交易成本的影响相对有限,具体表现为价格波动对交易成本的影响显著,但其方向因股票而异;相比之下,未成交的指令流对交易成本的影响具有一致性,包含了更多的有效信息,然而这种有效程度与衡量视角以及指令特征相关;此外,大单的提交是交易成本的重要影响因素,可作为调整交易策略的信号源,同时也是监管关注的重点.To deeply explore the impact mechanism of trading costs under microstructure of high-frequency market,we reconstruct the time-varying limit order book using the Shenzhen Stock Exchange tick-by-tick high-frequency data.Based on the survival analysis model and deep learning method,we comprehensively consider the effects of order characteristics and characteristics of order book on the execution probability of limit order,and calculate the trading costs of limit order under different market conditions.Then,we expand on the Maglaras' cost impact model by including the order flow information measurement indicator and deeply discuss the impact of market microstructure variables on trading costs.The empirical results show that,at the micro level,the impact of transaction information on trading costs is limited.Specifically,price fluctuations have a significant effect on trading costs,but its direction varies depending on different stocks.In contrast,the impact of the unexecuted order flow on trading costs is consistent and contains more valid information,although the degree of effectiveness depends on the measurement perspectives and order characteristics.In addition,the submission of large orders is a significant driver of trading costs,serving as a signal source for adjusting trading strategies,and it is also a key area of regulatory agencies' attention.

关 键 词：微观市场结构 限价指令簿 成交概率 深度学习 交易成本 

分 类 号：F830.91[经济管理—金融学]