Todd Andrew, Beling Peter, Scherer William
Department of Systems and Information Engineering, School of Engineering and Applied Science, University of Virginia, Charlottesville, VA, United States of America.
PLoS One. 2016 Mar 9;11(3):e0151096. doi: 10.1371/journal.pone.0151096. eCollection 2016.
Financial markets are often fragmented, introducing the possibility that quotes in identical securities may become crossed or locked. There are a number of theoretical explanations for the existence of crossed and locked quotes, including competition, simultaneous actions, inattentiveness, fee structure and market access. In this paper, we perform a simulation experiment designed to examine the effect of simple order routing procedures on the properties of a fragmented market consisting of a single security trading in two independent limit order books. The quotes in the two markets are connected solely by the routing decision of the market participants. We report on the health of the consolidated market as measured by the duration of crossed and locked states, as well as the spread and the volatility of transaction prices in the consolidated market. We aim to quantify exactly how the prevalence of order routing among a population of market participants affects properties of the consolidated market. Our model contributes to the zero-intelligence literature by treating order routing as an experimental variable. Additionally, we introduce a parsimonious heuristic for limit order routing, allowing us to study the effects of both market order routing and limit order routing. Our model refines intuition for the sometimes subtle relationships between the prevalence of order routing and various market measures. Our model also provides a benchmark for more complex agent-based models.
金融市场往往是分割的，这就使得相同证券的报价可能出现交叉或锁定的情况。对于交叉报价和锁定报价的存在，有多种理论解释，包括竞争、同步行动、注意力不集中、费用结构和市场准入等。在本文中，我们进行了一项模拟实验，旨在研究简单订单路由程序对由在两个独立限价订单簿中交易的单一证券构成的分割市场特性的影响。两个市场中的报价仅通过市场参与者的路由决策相互关联。我们报告合并市场的健康状况，衡量指标包括交叉和锁定状态的持续时间，以及合并市场中交易价格的价差和波动性。我们旨在准确量化市场参与者群体中订单路由的普遍程度如何影响合并市场的特性。我们的模型通过将订单路由视为一个实验变量，为零智能文献做出了贡献。此外，我们引入了一种用于限价订单路由的简约启发式方法，使我们能够研究市价订单路由和限价订单路由的影响。我们的模型完善了对于订单路由普遍程度与各种市场指标之间有时微妙关系的直觉。我们的模型还为更复杂的基于主体的模型提供了一个基准。
