多层级指令流不平衡的价格冲击效应研究

Multi-Level Order Flow Imbalance and Price Impact

指令驱动市场中,指令流的不平衡性是价格变化的主要驱动力。为深入探究指令流不平衡对价格的冲击效应,本文利用逐笔委托数据重构限价指令簿,量化识别多层级指令流不平衡时变特征,从自冲击和交叉冲击两个角度对价格冲击展开研究,并在此基础上拓展分析了背后的机理和交易者行为特征。实证结果表明:第一,多层级指令流不平衡纳入了限价指令簿深度报价档位信息,可以为自身价格形成提供更强的解释力;第二,从组合交易角度来看,多层级指令流不平衡也包含了与之相关联的其他限价指令簿指令流信息,因此,在同期引入交叉冲击无法对价格变动提供额外的解释力;第三,利用后双选格兰杰因果检验能够有效识别不同样本股票多层级指令流不平衡间的先后引导关系,实现多期交叉冲击效应的刻画。多层级指令流不平衡不仅包含了知情交易者所掌握的私有信息,同时也隐含着组合交易者的行为特征。

In order-driven financial market,order flow imbalance is the main driving force for price movement.To deeply explore the price impact of order flow imbalance,dynamic limit order book,and quantify timevarying characteristics of multi-level order flow imbalance are reconstructed,then the price impact and cross impact are discussed.The mechanism and trader's behavior characteristics behind the result are explored.Our empirical analysis results show that,first,multi-level order flow imbalance contains deeper levels information of limit order book.It can provide higher explanatory power for the contemporaneous price impact.Second,from the perspective of multi-asset trading,the information of other limit order book is also included in multi-level order flow imbalance,multi-asset models with cross-impact do not provide additional explanatory power for contemporaneous impact.Third,the post-double-selection granger causality testing can effectively identify the continuous guidance relationship between different sample stocks'multi-level order flow imbalance and realize the portrayal of cross impact.Multi-level order flow imbalance not only contains private information held by informed traders,but also implies behavioral characteristics of multi-asset traders.