Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon
arxiv(2024)
摘要
This study introduces novel concepts in the analysis of limit order books
(LOBs) with a focus on unveiling strategic insights into spread prediction and
understanding the global mid-price (GMP) phenomenon. We define and analyze the
total market order book bid–ask spread (TMOBBAS) and GMP, showcasing their
significance in providing a deeper understanding of market dynamics beyond
traditional LOB models. Employing high-frequency data, we comprehensively
examine these concepts through various methodological lenses, including tail
behavior analysis, dynamics of log-returns, and risk–return performance
evaluation. Our findings reveal the intricate behavior of TMOBBAS and GMP under
different market conditions, offering new perspectives on the liquidity,
volatility, and efficiency of markets. This paper not only contributes to the
academic discourse on financial markets but also presents practical
implications for traders, risk managers, and policymakers seeking to navigate
the complexities of modern financial systems.
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