论文标题
小订单的市场影响
Market Impact of Small Orders
论文作者
论文摘要
这篇文章是通过订单书事件对市场影响的经验研究。它描述了一种提取平均参与率和小订单的市场影响的机制，该订单代表大型元元的单个切片。该研究基于期货合约的刻度数据。结果表明，根据仪器，影响可以是线性或凹功能作为交易量的函数。归一化后，对于广泛的仪器，这种依赖性非常相似。 提出了一个简单而有效的市场影响估计模型。该模型本质上是线性的，是基于直接的微观结构推理得出的。估计显示凹面和线性市场影响量依赖性的令人满意的结果。
The article is an empirical study of market impact through order book events. It describes a mechanism of extracting an average participation rate and a market impact of small orders which represent individual slices of large metaorders. The study is based on tick data for futures contracts. It is shown that the impact could be either linear or a concave function as a function of trading volume, depending on the instrument. After normalisation, this dependency is shown to be very similar for a wide range of instruments. A simple yet effective model for market impact estimation is proposed. This model is linear in nature and is derived based on straightforward microstructure reasoning. The estimation shows satisfactory results for both concave and linear market impact volume dependencies.
