英文标题：
《Slow decay of impact in equity markets: insights from the ANcerno
database》
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作者：
Fr\\\'ed\\\'eric Bucci, Michael Benzaquen, Fabrizio Lillo, Jean-Philippe
Bouchaud
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最新提交年份：
2019
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英文摘要：
We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US equity market. We show that relaxation takes place as soon as the metaorder ends:{while at the end of the same day it is on average $\\approx 2/3$ of the peak impact, the decay continues the next days, following a power-law function at short time scales, and converges to a non-zero asymptotic value at long time scales (${\\sim 50}$ days) equal to $\\approx 1/2$ of the impact at the end of the first day.} Due to a significant, multiday correlation of the sign of executed metaorders, a careful deconvolution of the \\emph{observed} impact must be performed to extract the estimate of the impact decay of isolated metaorders.
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中文摘要：
我们对执行元指令后的价格反转进行了实证研究。我们使用的数据集包含美国股市机构投资者执行的800多万个元指令。我们表明，弛豫在亚阶结束时立即发生：{虽然在同一天结束时，它的平均值约为峰值冲击的2/3美元，但在短时间尺度下的幂律函数之后，衰变将在接下来的几天继续，并在长时间尺度（约为50天）收敛到非零渐近值，等于第一天结束时冲击的1/2美元。}由于执行的元指令的符号存在显著的多日相关性，必须对观察到的影响进行仔细的反褶积，以提取孤立元指令的影响衰减估计值。
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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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