英文标题：
《Liquidity and Impact in Fair Markets》
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作者：
Thibault Jaisson
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最新提交年份：
2015
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英文摘要：
We develop a theory which applies to any market dynamics that satisfy a fair market assumption on the nullity of the average profit of simple market making strategies. We show that for any such fair market, there exists a martingale fair price which corresponds to the average liquidation value (at the ask or the bid) of an infinitesimal quantity of stock. We show that this fair price is a natural reference price to compute the ex post gain of limit orders. Using only the fair market assumption, we link the spread to the impact of market orders on the fair price. We use our definition of the fair price to build empirical tests of the relevance of this notion whose results are consistent with our theoretical predictions.
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中文摘要：
我们发展了一个理论，适用于任何满足公平市场假设的市场动态，即简单做市策略的平均利润为零。我们证明，对于任何这样的公平市场，都存在一个鞅公平价格，它对应于无限小量股票的平均清算价值（在买卖时）。我们证明了这个公平价格是计算限价订单事后收益的自然参考价格。仅使用公平市场假设，我们将差价与市场订单对公平价格的影响联系起来。我们使用我们对公平价格的定义，对这一概念的相关性进行实证检验，其结果与我们的理论预测一致。
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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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