英文标题：
《Market impact as anticipation of the order flow imbalance》
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作者：
Thibault Jaisson
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最新提交年份：
2014
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英文摘要：
In this paper, we assume that the permanent market impact of metaorders is linear and that the price is a martingale. Those two hypotheses enable us to derive the evolution of the price from the dynamics of the flow of market orders. For example, if the market order flow is assumed to follow a nearly unstable Hawkes process, we retrieve the apparent long memory of the flow together with a power law impact function which is consistent with the celebrated square root law. We also link the long memory exponent of the sign of market orders with the impact function exponent. One of the originalities of our approach is that our results are derived without assuming that market participants are able to detect the beginning of metaorders.
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中文摘要：
在本文中，我们假设元订单的永久市场影响是线性的，并且价格是鞅。这两个假设使我们能够从市场订单流动的动态中得出价格的演变。例如，如果假设市场订单流遵循一个几乎不稳定的霍克斯过程，我们将检索该流的明显长记忆以及与著名的平方根定律一致的幂律影响函数。我们还将市场订单符号的长记忆指数与影响函数指数联系起来。我们的方法的一个独创之处是，我们的结果是在不假设市场参与者能够检测到元订单开始的情况下得出的。
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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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