An Asymmetric Information Modeling Framework for Ultra-High Frequency Transaction Data: A Nonlinear Filtering Approach

摘要: This chapter proposes a new asymmetric information modeling framework that provides theoretical explanation for some of the observed interactions among key quantities in financial markets: price impact trade, duration between trades, and degree asymmetry. In model, private signal is partially revealed through while public arrives continuously at market. The market maker utilizes nonlinear filtering technique to set competitive rationally incorporates these two sources information. pricing rule depends on actual sequence order arrivals, not just total number buy/sell orders. trade tends decrease when trades gets longer. speed which incorporated into quality trading rate informed traders.