英文标题：
《Impact is not just volatility》
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作者：
Fr\\\'ed\\\'eric Bucci and Iacopo Mastromatteo and Michael Benzaquen and
Jean-Philippe Bouchaud
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最新提交年份：
2019
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英文摘要：
The notion of market impact is subtle and sometimes misinterpreted. Here we argue that impact should not be misconstrued as volatility. In particular, the so-called ``square-root impact law\'\', which states that impact grows as the square-root of traded volume, has nothing to do with price diffusion, i.e. that typical price changes grow as the square-root of time. We rationalise empirical findings on impact and volatility by introducing a simple scaling argument and confronting it to data.
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中文摘要：
市场影响的概念很微妙，有时会被误解。在此，我们认为，不应将影响误解为波动性。特别是，所谓的“平方根影响定律”（square root impact law）指出，影响随着交易量的平方根而增长，与价格扩散无关，即典型的价格变化随着时间的平方根而增长。我们通过引入一个简单的标度论证，并将其与数据进行对比，从而使关于影响和波动性的实证结果合理化。
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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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