完全竞争下自相关订单流与市场冲击
文章 arXiv papers · 作者: Jonathan Donier
总结
本文建立了订单流具有自相关性时的市场冲击模型。研究区分了数种冲击定义，并解释每种定义如何产生不同的价格路径，同时将订单流相关性与大额订单执行期间的冲击形态及执行结束后的价格联系起来。
在完全竞争和信息充分的条件下，分析推导了这些量之间的关系，描述了交易后的冲击衰减，并探讨知情交易者如何利用这种衰减改善清算。研究还解释了即使订单流具有可预测性，价格为何仍可为鞅，以及即使基础冲击函数为凹函数，为何仍可排除价格操纵。该研究评估冲击成本，并初步探讨最优交易策略。所给描述报告了理论结果，但没有提供数据、校准细节或定量检验，因此无法据此评估实际表现或模型的实证适用范围。
核心观点
- 在模型假设下，自相关订单流可以与鞅价格并存。
- 不同的市场冲击定义会导出大额订单执行前后不同的价格路径。
- 订单流相关性与执行期间的冲击形态及执行后的预期价格相关联。
- 模型推导出交易后的冲击衰减表达式，可为知情交易者的清算提供参考。
- 在所述框架下，基础冲击函数为凹函数本身并不意味着存在可利用的价格操纵机会。
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全文
# Market Impact with Autocorrelated Order Flow under Perfect Competition # Market Impact with Autocorrelated Order Flow under Perfect Competition Our goal in this paper is to study the market impact in a market in which the order flow is autocorrelated. We build a model which explains qualitatively and quantitatively the empirical facts observed so far concerning market impact. We define different notions of market impact, and show how they lead to the different price paths observed in the literature. For each one, under the assumption of perfect competition and information, we derive and explain the relationships between the correlations in the order flow, the shape of the market impact function while a meta-order is being executed, and the expected price after the completion. We also derive an expression for the decay of market impact after a trade, and show how it can result in a better liquidation strategy for an informed trader. We show how, in spite of auto-correlation in order-flow, prices can be martingales, and how price manipulation is ruled out even though the bare impact function is concave. We finally assess the cost of market impact and try to make a step towards optimal strategies.
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此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。