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订单拆分与流动性补充为何会产生平方根市场冲击

文章 arXiv papers · 作者: Yang Zhou et al.
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总结

本文检验对市场冲击平方根定律的解释。该定律描述冲击如何随大额订单规模相对于成交量的比例增长。研究将三种预测与一个包含异质交互主体的最简限价订单簿模型结果进行比较。模型以东京证券交易所基准校准，并在 2,000 只独立设定参数的股票上进行模拟；其平均冲击指数接近基准值。

反事实消融结果表明，在该模型中，订单拆分和做市商流动性补充都很重要：去除任一机制都会降低估计的指数。改变动量交易、价格限制、拆分规则或背景流动性，影响则较小。作者认为，大额订单规模分布的尾部和可见订单簿形状都无法单独解释模拟出的定律。这些发现是基于模型的因果证据，并不能证明相同机制可以解释所有现实市场中的市场冲击；本文没有提供实证验证或实施成本的更多细节。

核心观点

  • 研究在相同模拟数据上比较市场冲击平方根定律的三种解释。
  • 限价订单簿模型复现的平均冲击指数接近文中所述的东京证券交易所基准。
  • 抑制订单拆分会显著降低模拟出的冲击指数。
  • 移除做市商流动性补充也会降低指数，支持两种机制共同发挥作用。
  • 其他受测变化影响较小，且结果仅适用于所述模型。

标签

市场微观结构交易执行统计学做市回测
全文
# Order Splitting and Liquidity Replenishment Are Jointly Necessary for the Square-Root Law of Market Impact:


# Order Splitting and Liquidity Replenishment Are Jointly Necessary for the Square-Root Law of Market Impact:









Three quantitative predictions have been advanced for the square-root law (SRL) of market impact, $I/σ_D = c\,(Q/V_D)^δ$ with $δ\approx 0.5$: GGPS ($δ=β-1$), FGLW ($δ=α-1$), and LOB walking ($δ=1/(1+γ)$). Using a minimal limit-order-book model populated by heterogeneous interacting agents and calibrated against the Tokyo Stock Exchange benchmark ($\langleδ\rangle = 0.489$~\citep{satoStrictUniversalitySquareRoot2025}), we test all three on identical simulated data and find that none matches the per-stock measured $δ$: GGPS and FGLW over-predict by factors of two and four respectively, while LOB walking under-predicts. The model reproduces $\langleδ\rangle = 0.539\pm 0.048$ across 2000 independently parameterised stocks. To identify which mechanisms are causally responsible, we perform counterfactual ablation by selectively suppressing each component. Removing order splitting collapses $δ$ from $0.549$ to $0.324$; removing liquidity replenishment by market makers drops it to $0.386$; perturbations that leave both intact (momentum trading, price limits, splitting rule, background liquidity) move $δ$ by less than $10\%$. Order splitting and liquidity replenishment are thus jointly identified as the necessary mechanisms for the SRL within this model, with the simulated SRL depending on neither the metaorder size tail nor the visible book shape in isolation.

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。