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Quantitative Finance · Glossário

O que é Zero-intelligence model?

Definition 1.7 Microstructure and Execution · Capítulo 1 — The Limit Order Book

A zero-intelligence model of a limit order book lets limit orders, market orders and cancellations arrive as independent Poisson processes whose rates may depend on the distance from the best prices, with no trader choosing anything; its spread, depth, volatility and fill probabilities follow from the rates alone.

Left: the probability that an order at the back of the best bid fills before it is cancelled, against the orders ahead of it: the proposition, and the zero-intelligence market with and without price improvement (400 000 events each; beyond eight orders ahead the tracked orders are too few, under a hundred per point). Right: the mean displayed depth at each distance from the best price in the simulated hour of firm.tape, sampled every second; it peaks one tick behind the best. Data: mx_lob.zi_market, mx_lob.depth_profile.
Figure 1.3. Left: the probability that an order at the back of the best bid fills before it is cancelled, against the orders ahead of it: the proposition, and the zero-intelligence market with and without price improvement (400 000 events each; beyond eight orders ahead the tracked orders are too few, under a hundred per point). Right: the mean displayed depth at each distance from the best price in the simulated hour of firm.tape, sampled every second; it peaks one tick behind the best. Data: mx_lob.zi_market, mx_lob.depth_profile.
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