方向性交易者与套利者博弈中的暂时性市场冲击
文章 arXiv papers · 作者: Francesco Cordoni et al.
总结
本文从理论上解释暂时性市场冲击，即实证研究观察到的交易引起的短暂价格反应。文中将方向性交易者与套利者建模为在纳什均衡中相互作用，尽管博弈中的基础冲击是固定且永久的。交易者的行为以及市场对订单流的反应，可能会造成冲击似乎逐渐衰减的现象。
文中提出两种推导暂时性冲击模型所用衰减核的方法。一种利用过去订单流与未来价格变化之间的关系；另一种求解逆向最优执行问题。第一种方法得出唯一的隐含核，而第二种方法有无穷多个解，并且总能推断出线性核。本文阐述的是理论推导，而非实证验证；描述未提供假设、校准细节，也没有证据表明隐含核适用于特定市场。
核心观点
- 方向性交易者与套利者之间的纳什均衡，即使博弈中的冲击是永久的，也可能产生暂时性冲击。
- 可根据交易者的交易模式以及价格对订单流的反应推断隐含衰减。
- 一种推导方法将过去订单流与未来价格变化联系起来，并得出唯一的核。
- 逆向最优执行方法有无穷多个解，并且总能推断出线性核。
- 本文描述了一种理论机制，但未提供实证验证细节。
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# Transient impact from the Nash equilibrium of a permanent market impact game # Transient impact from the Nash equilibrium of a permanent market impact game A large body of empirical literature has shown that market impact of financial prices is transient. However, from a theoretical standpoint, the origin of this temporary nature is still unclear. We show that an implied transient impact arises from the Nash equilibrium between a directional trader and one arbitrageur in a market impact game with fixed and permanent impact. The implied impact is the one that can be empirically inferred from the directional trader's trading profile and price reaction to order flow. Specifically, we propose two approaches to derive the functional form of the decay kernel of the Transient Impact Model, one of the most popular empirical models for transient impact, from the behaviour of the directional trader at the Nash equilibrium. The first is based on the relationship between past order flow and future price change, while in the second we solve an inverse optimal execution problem. We show that in the first approach the implied kernel is unique, while in the second case infinite solutions exist and a linear kernel can always be inferred.
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