Real‐Time Tracking of Public Announcements in the Limit Order Book
研究了美国农业部报告实时发布对五种农产品期货价格发现的影响，利用限价订单簿信息开发交易策略，发现报告在交易时段内发布时知情交易者策略更激进，且利用订单簿信息可获额外利润。
ABSTRACT With the growth of information technology, market participants in futures markets can access new information and respond to it at a faster pace. We study the effect of the US Department of Agriculture's (USDA) reports, in real time, on the price discovery of five agricultural commodities. Using the information along the steps of the LOB, we develop a trading scheme to quantify the economic value of the information contained in the USDA reports. Informed traders become more aggressive in their trading strategies when the USDA reports are released during the trading sessions, whereas no impact is observed when reports are released outside the trading sessions. We also find that by incorporating the information embedded in the steps of the LOB when unwinding a large order, additional profits can be obtained on USDA report days. We attribute the additional profits to the information in the USDA reports.