英文标题：
《A fully consistent, minimal model for non-linear market impact》
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作者：
Jonathan Donier and Julius Bonart and Iacopo Mastromatteo and
Jean-Philippe Bouchaud
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最新提交年份：
2015
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英文摘要：
We propose a minimal theory of non-linear price impact based on a linear (latent) order book approximation, inspired by diffusion-reaction models and general arguments. Our framework allows one to compute the average price trajectory in the presence of a meta-order, that consistently generalizes previously proposed propagator models. We account for the universally observed square-root impact law, and predict non-trivial trajectories when trading is interrupted or reversed. We prove that our framework is free of price manipulation, and that prices can be made diffusive (albeit with a generic short-term mean-reverting contribution). Our model suggests that prices can be decomposed into a transient \"mechanical\" impact component and a permanent \"informational\" component.
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中文摘要：
受扩散反应模型和一般论点的启发，我们提出了一种基于线性（潜在）订单簿近似的非线性价格影响最小理论。我们的框架允许我们计算存在元订单时的平均价格轨迹，这一致地概括了先前提出的传播子模型。我们解释了普遍观察到的平方根影响定律，并预测了交易中断或反转时的非平凡轨迹。我们证明了我们的框架不存在价格操纵，价格可以扩散（尽管有一个通用的短期均值回复贡献）。我们的模型表明，价格可以分解为瞬时的“机械”影响成分和永久的“信息”成分。
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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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