英文标题：
《A Million Metaorder Analysis of Market Impact on the Bitcoin》
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作者：
Jonathan Donier, Julius Bonart
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最新提交年份：
2015
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英文摘要：
We present a thorough empirical analysis of market impact on the Bitcoin/USD exchange market using a complete dataset that allows us to reconstruct more than one million metaorders. We empirically confirm the \"square-root law\'\' for market impact, which holds on four decades in spite of the quasi-absence of statistical arbitrage and market marking strategies. We show that the square-root impact holds during the whole trajectory of a metaorder and not only for the final execution price. We also attempt to decompose the order flow into an \"informed\'\' and \"uninformed\'\' component, the latter leading to an almost complete long-term decay of impact. This study sheds light on the hypotheses and predictions of several market impact models recently proposed in the literature and promotes heterogeneous agent models as promising candidates to explain price impact on the Bitcoin market -- and, we believe, on other markets as well.
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中文摘要：
我们使用一个完整的数据集，对比特币/美元兑换市场的市场影响进行了全面的实证分析，该数据集允许我们重建超过100万个元订单。我们通过实证证实了市场影响的“平方根定律”，尽管几乎没有统计套利和市场标记策略，但它持续了40年。我们表明，平方根影响在元订单的整个轨迹中都是成立的，不仅是对最终执行价。我们还试图将订单流分解为“知情”和这项研究揭示了文献中最近提出的几种市场影响模型的假设和预测，并将异构代理模型推广为有希望解释比特币市场价格影响的候选模型，我们相信，在其他市场上也是如此。
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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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