英文标题：
《Agent-based models for latent liquidity and concave price impact》
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作者：
Iacopo Mastromatteo, Bence Toth, Jean-Philippe Bouchaud
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最新提交年份：
2014
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英文摘要：
We revisit the \"epsilon-intelligence\" model of Toth et al.(2011), that was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of the daily liquidity is \"latent\" and furthermore vanishes linearly around the current price, as a consequence of the diffusion of the price itself. However, the numerical implementation of Toth et al. was criticised as being unrealistic, in particular because all the \"intelligence\" was conferred to market orders, while limit orders were passive and random. In this work, we study various alternative specifications of the model, for example allowing limit orders to react to the order flow, or changing the execution protocols. By and large, our study lends strong support to the idea that the square-root impact law is a very generic and robust property that requires very few ingredients to be valid. We also show that the transition from super-diffusion to sub-diffusion reported in Toth et al. is in fact a cross-over, but that the original model can be slightly altered in order to give rise to a genuine phase transition, which is of interest on its own. We finally propose a general theoretical framework to understand how a non-linear impact may appear even in the limit where the bias in the order flow is vanishingly small.
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中文摘要：
我们重温了托斯等人（2011）的“ε智能”模型，该模型被提出作为一个最小框架，用于理解元指令对金融市场交易量影响的平方根依赖性。其基本思想是，由于价格本身的扩散，大部分日常流动性是“潜在的”，并且在当前价格附近线性消失。然而，托斯等人的数字实施被批评为不现实，特别是因为所有“情报”都是授予市场指令的，而限价指令是被动和随机的。在这项工作中，我们研究了模型的各种替代规范，例如允许限制订单对订单流做出反应，或更改执行协议。总的来说，我们的研究有力地支持了以下观点：平方根碰撞定律是一个非常通用且强大的特性，只需要很少的成分就可以有效。我们还表明，Toth等人报道的从超扩散到亚扩散的转变实际上是一种交叉，但原始模型可以稍微改变，以产生真正的相变，这本身就很有趣。最后，我们提出了一个通用的理论框架，以理解即使在订单流中的偏差非常小的极限下，非线性影响如何出现。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Physics 物理学
二级分类：Statistical Mechanics 统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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