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合成市场支持平方根价格冲击与订单流预测

文章 arXiv papers · 作者: Guillaume Maitrier et al.
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总结

本文根据先前提出的相关大宗订单模型构建人工市场，并考察价格冲击、订单流和波动率之间的相互作用。其核心前提是，大宗订单引起的平均价格变动与成交量呈平方根关系，相关订单的合并活动可以解释价格波动。

模拟再现了模型所预测的广义订单流与收益之间的关系；作者称这一关系也见于实证数据。他们还根据模拟交易流推导出代理大宗订单，并发现这些代理订单再现了平方根冲击模式。这为使用匿名交易估算真实大宗订单的冲击提供了支持。所述证据基于模拟，支持的是早期模型的近似；它不能证明同一机制能够完全解释所有市场或交易情境中的波动率。

核心观点

  • 人工市场实现了一个相关大宗订单及其价格影响模型。
  • 模型假设平均市场冲击随成交量的平方根增长。
  • 模拟中的广义订单流和收益呈现模型预测的相关结构。
  • 根据模拟交易重建的代理大宗订单再现了平方根冲击关系。
  • 研究结果支持基于逐笔成交数据估算冲击，但证据仍只针对特定模型。

标签

市场微观结构交易执行统计学
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# The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility II: An Artificial Market Generator


# The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility II: An Artificial Market Generator









This work extends and complements our previous theoretical paper on the subtle interplay between impact, order flow and volatility. In the present paper, we generate synthetic market data following the specification of that paper and show that the approximations made there are actually justified, which provides quantitative support our conclusion that price volatility can be fully explained by the superposition of correlated metaorders which all impact prices, on average, as a square-root of executed volume. One of the most striking predictions of our model is the structure of the correlation between generalized order flow and returns, which is observed empirically and reproduced using our synthetic market generator. Furthermore, we were able to construct proxy metaorders from our simulated order flow that reproduce the square-root law of market impact, lending further credence to the proposal made in Ref. [2] to measure the impact of real metaorders from tape data (i.e. anonymized trades), which was long thought to be impossible.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。