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Quantitative Finance · Glosarium

Apa itu Order-sign autocorrelation, metaorder?

Dikenal juga sebagai: order-sign autocorrelation · metaorder

Definition 9.3 Research Craft: Predictors, Backtests, Measurement, Portfolios · Bab 9 — Trade-Flow Features

The order-sign autocorrelation is the autocorrelation function of the signs of successive aggressive orders. A metaorder is a large order executed as a sequence of smaller child orders over time.

Autocorrelation of the signs of successive aggressive orders on the simulated tape, on logarithmic axes, with a power law of exponent 0.5 = - 1 for the simulator’s metaorder tail = 1.5. Data: firm.tape, seed 9.
Figure 9.3. Autocorrelation of the signs of successive aggressive orders on the simulated tape, on logarithmic axes, with a power law of exponent 0.5=α−10.5 = \alpha - 1 for the simulator’s metaorder tail α=1.5\alpha = 1.5. Data: firm.tape, seed 9.
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