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原文連結
論文資訊
- 類型：已發表論文
- 日期：2010
摘要
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders, we fit hidden 馬可夫 models to the time series of the sign of the tick-by-tick inventory variation of market members of the Spanish Stock Exchange. Our methodology probabilistically detects trading sequences, which are characterized by a significant majority of buy or sell transactions. We interpret these patches of sequential buying or selling transactions as proxies of the traded hidden orders. We find that the time, volume and number of transaction size distributions of these patches are fat tailed. Long patches are characterized by a large fraction of market order
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