论文标题
Weibull混合物的审查EM算法：应用到市场订单的到达时间
Censored EM algorithm for Weibull mixtures: application to arrival times of market orders
论文作者
论文摘要
在先前的分析中，“零充气”的时间数据（由电子订单中的高频交易引起）的问题是通过左截断到达期间的时间来处理的。我们使用严格的统计方法证明了Weibull分布描述了所有到达零的区域间差异的相应随机动力学。但是，由于被截断的Weibull分布无法描述零附近附近的巨大“零充气”概率质量（构成了限制订单的数据的约50％），因此很明显，整个概率分布是Weibull分布的混合分布。在这里，我们使用审查的EM算法来分析市场订单的到达时间差的数据，该数据通常在伦敦证券交易所进行的四个选定股票交易的零通货膨胀率通常要低得多。
In a previous analysis the problem of "zero-inflated" time data (caused by high frequency trading in the electronic order book) was handled by left-truncating the inter-arrival times. We demonstrated, using rigorous statistical methods, that the Weibull distribution describes the corresponding stochastic dynamics for all inter-arrival time differences except in the region near zero. However, since the truncated Weibull distribution was not able to describe the huge "zero-inflated" probability mass in the neighbourhood of zero (making up approximately 50\% of the data for limit orders), it became clear that the entire probability distribution is a mixture distribution of which the Weibull distribution is a significant part. Here we use a censored EM algorithm to analyse data for the difference of the arrival times of market orders, which usually have a much lower percentage of zero inflation, for four selected stocks trading on the London Stock Exchange.
