The Thermodynamics of High Frequency Markets英文文献资料

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1、TheThermodynamicsofHighFrequencyMarketsKevinThomasWebsterADissertationPresentedtotheFacultyofPrincetonUniversityinCandidacyfortheDegreeofDoctorofPhilosophyRecommendedforAcceptancebytheDepartmentofOperationsResearchandFinancialEngineeringAdviser:ProfessorCarmonaJune2014cCopyrightbyKevinThomasWebster

2、,2014.Allrightsreserved.AbstractHighFrequencyTrading(HFT)representsanevergrowingproportionofallnancialtransactionsasmostmarketshavenowswitchedtoelectronicorderbooksystems.Thisdissertationproposesanovelmethodologytoanalyzeidiosyncrasiesofthehighfrequencymarketmicrostructureandembedtheminclassicalco

3、ntinuoustimemodels.Themaintechnicalresultisthederivationofcontinuoustimeequationswhichgeneralizetheself-nancingrelationshipsoffrictionlessmarketstoelectronicmarketswithlimitorderbooks.WeuseNASDAQITCHdatatoidentifysignicantempiricalfeaturessuchaspriceimpactandrecovery,roughpathsofinventoriesandvan

4、ishingbid-askspreads.Startingfromthesefeatures,weidentifymicroscopicidentitieshold-ingonthetradeclock,andthroughadiusionlimitargument,derivecontinuoustimeequationswhichprovideamacroscopicdescriptionofpropertiesoftheorderbook.Theseequationsnaturallydierentiatebetweentradingvialimitandmarketor-ders

5、.WegiveseveralapplicationstoillustratetheirimpactandhowtheycanbeusedtothebenetofLowFrequencyTraders(LFTs).Inparticular,optionpricingandmarketmakingmodelsareproposedandsolved,leadingtonewinsightsastotheimpactoflimitordersandmarketordersontradingstrategies.iiiAcknowledgementsFirstandforemost,Iwouldl

6、iketothankmyadviser,ReneCarmona,foracceptingtheresearchproblemIgavemyselfnearlyfouryearsagoandhelpingmestickthroughwithitthroughoutthePhD.Theanglesofattackandtoolswechosechangedfromyeartoyear,buthisinsightfuladviceandpassionstayedconstantandstrong.Researchisneverdonecompletelyinisolation,andIamgra

7、tefultoProfessorsYacineAit-Sahalia,JeanJacodandRamonvanHandelforadviceonlimittheoremsforpathfunctionals,atoolthatendedupbeingcrucialinmydissertation.Profes-sorsMarkusBrunnermeierandPatrickCheridito,bothhelp