标题： Time-varying Limit Order Book Networks
报告人：Wolfgang Karl Härdle (Humboldt-Universität zu Berlin, Germany)
报告时间：2018年6月19日下午4:00-5:00
报告地点：本部数学楼二楼学术报告厅
摘要： This paper analyzes the market impact of limit order books (LOB) taking cross stock effects into account. Based on penalized vector autoregressive approach, we aim to identify significance and magnitude of the directed network channels within and between LOBs by bootstrapped impulse response functions. Moreover, information on asymmetries and imbalances within the LOB over time would be derived. For the sample of a NASDAQ blue-chip portfolio during 06-07/2016 we find that LOB network effects crucially determine prices and bid-ask asymmetries are prevalent.
报告人简介： Wolfgang Haerdle，现为德国柏林洪堡大学经济商学院终身教授，统计与计量研究所中心主任，厦门大学外籍专家教授，2012年荣获经济学期刊Econometric Theory授予的Multa Scripsit Award，现为国际统计学会（InternationalStatistical Institute）会士、国际数理统计学会（Institute ofMathematical Statistics）会士，计量金融学会（The Society for Financial Econometrics）创始委员会成员，中德博士生联合培养项目（IRTG）总负责人。主要研究领域为计量经济学和统计学。学术成果发表在Annals of Statistics，Econometrica， Journal of the American Statistical Association，Journal of Econometrics，Econometric Theory，Journal of Business & Economic Statistics等国际一流学术期刊上。