基于状态依赖Hawkes过程的我国股市限价指令簿事件激励效应研究

指令驱动市场中，交易者对委托指令的提交和撤销往往表现出非平稳性和集聚性特征。量化评价限价指令簿事件间的激励关系，是探究限价指令簿动态演化的基础，指导交易者行为决策的重要参照。本文利用我国股票逐单委托数据重建了实时演化的限价指令簿，基于状态依赖Hawkes过程分析了不同市场状态下各类限价指令簿事件的自激励和互激励效应。共采用三种不同设定的状态依赖Hawkes过程模型进行实证分析，并探讨了我国股市中交易者的行为特征。实证结果表明，总体上我国股市中限价指令簿事件的自激励效应强于互激励效应，且不同市场状态下存在显著差异。激进事件所产生的互激励效应更为强烈，通过激进程度划分事件类型更能反映事件冲击和交易者的信息学习行为。

Research on Excitation Effect among Limit Order Book Events in Chinese Stock Market Based on State-dependent Hawkes Processes

In order-driven financial market, the submission and cancellation of market orders and limit orders are often found to be showing non-stationary and agglomerative characteristics.Quantitatively evaluating the exciting relationship between these limit order book events is an essential topic of market microstructure researching, such as the dynamic modeling of the limit order book and the behavioral characteristics of traders.Using all the orders of sample stocks ubmitted by traders in Shenzhen Stock Exchange, high frequency dynamic limit order book is rebuilt and state-dependent Hawkes process model is construoted to analyze the self-excitation and co-excitation effects among various limit order book events.Specifically, two sets of states are built, using bid-ask spread to measure instant market liquidity and queue imbalance to measure buy or sell pressure; and at the same time,2 sets of limit order book events according to the type and the aggressiveness of all the orders. In total, our model is tested under 3 different settings. Empirical results show that, in China’s order-driven stock market,self-excitation effects of limit book events is much stronger than co-excitation effect, and these effects vary significantly under different market states. Classifying market events according to their aggressiveness is much better in reflecting the information feedback loops and trading behavior of traders.