英文标题：
《Market Impact: A Systematic Study of the High Frequency Options Market》
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作者：
Emilio Said (FiQuant, MICS, BNP Paribas), Ahmed Bel Hadj Ayed, Damien
Thillou, Jean-Jacques Rabeyrin, Fr\\\'ed\\\'eric Abergel (FiQuant, MICS)
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最新提交年份：
2019
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英文摘要：
This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders-large orders that are split into smaller pieces before being sent to the market on one of the main Asian markets. In line with our previous work on the equity market [Said et al., 2018], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well understood equity market: Square-root law, Fair Pricing Condition and Market Impact Dynamics.
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中文摘要：
本文讨论了近年来很少涉及的一个基本问题，即期权市场的市场影响。我们的分析基于元订单的专有数据库，即在发送到亚洲主要市场之一的市场之前，将大订单分割成较小的部分。根据我们之前在股票市场上的工作【Said等人，2018年】，我们提出了一种基于一些隐含波动率参数、货币远期波动率和货币远期偏斜的算法方法来识别元订单。在这两种情况下，我们都得到了类似于现在已被广泛理解的股票市场的结果：平方根定律、公平定价条件和市场影响动力学。
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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：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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