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摘要翻译：
我们实证研究了交易指令的市场影响。我们特别对增量执行的大额交易订单感兴趣，我们称之为隐藏订单。这些数据是根据有关市场成员代码的信息使用来自西班牙证券市场和伦敦证券交易所的数据重新构建的。我们发现市场影响是强凹的，近似地随着订单规模的平方根而增加。此外，当执行给定的顺序时，冲击按幂律在时间上增长；订单完成后，它恢复到峰值时价值的0.5-0.7左右的水平。我们观察到，隐藏订单的执行速度或多或少与整个市场的交易相匹配，除了订单开始和结束时的小偏差。
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英文标题：
《Market impact and trading profile of large trading orders in stock
markets》
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作者：
Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne
Farmer, Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna
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最新提交年份：
2009
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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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英文摘要：
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power-law; after the order is finished, it reverts to a level of about 0.5-0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.
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PDF链接：
https://arxiv.org/pdf/0908.0202
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