标题： 一个连续且高效的离散订单簿网格基础价格 显示英文标题

标题： A continuous and efficient fundamental price on the discrete order book grid

摘要： 本文通过将Madhavan, Richardson和Roomans（1997）的价格形成模型适应于具有报价离散化和流动性回扣的现实订单簿，开发了一个金融市场上流动性提供的模型。 我们假设流动性提供者观察到一个基本价格，该价格是连续的、有效的，并且可以超出最佳报价所跨越的区间。 我们通过在100只流动性纳斯达克股票的大规模高频数据集上进行广泛的实证测试，验证了我们价格形成模型的预测。 最后，我们利用该模型提出了一种基于最佳报价处的回扣调整成交量不平衡的基本价格估计器，并实证表明它优于其他简单的估计器。 显示英文摘要

摘要： This paper develops a model of liquidity provision in financial markets by adapting the Madhavan, Richardson, and Roomans (1997) price formation model to realistic order books with quote discretization and liquidity rebates. We postulate that liquidity providers observe a fundamental price which is continuous, efficient, and can assume values outside the interval spanned by the best quotes. We confirm the predictions of our price formation model with extensive empirical tests on large high-frequency datasets of 100 liquid Nasdaq stocks. Finally we use the model to propose an estimator of the fundamental price based on the rebate adjusted volume imbalance at the best quotes and we empirically show that it outperforms other simpler estimators.