東京証券取引所における注文分割行動に関する戦略クラスタリング

抄録

Financial market microstructure has been scrutinised by utilising the high-frequency order-book data these days. In this talk, we report our preliminary data-analytical results on the persistence of the order flows (called the long-range correlation (LRC) in the literature) from microscopic dynamics. Empirically, the order flow is known to exhibit the persistence: i.e., the future order sign is strongly correlated with the historical sign sequence for a long time. This intrinstic character of financial markets have been a debatable issue in terms of its microscopic origin. One of the microscopic hypotheses to explain this LRC is the ordersplitting behaviour at the level of individual traders. We have carefully tested this microscopic hypothesis through microscopic data analysis of a large dataset in the Tokyo Stock Exchange, particularly from the viewpoint of the direct validation of the Lillo-Mike-Farmer model.