摘要翻译:
我们提出了一个市场流动性的动态理论,它预测平均供给/需求剖面是V形的,并且{\它消失}在当前价格附近。这个结果是一般性的,只依赖于对订单流的温和假设和价格(在一次近似下)是扩散的事实。这自然解释了两个引人注目的程式化事实:首先,为了被流动性漏斗消化,大型元订单必须被分割,导致订单流符号中的长记忆。其次,异常小的本地流动性导致线性响应的崩溃和小订单的发散影响,解释了“平方根”影响规律,并为其提供了额外的实证支持。最后,我们用一个基于相同最小成分的订单流数值模型定量地检验了我们的论点。
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英文标题:
《Anomalous price impact and the critical nature of liquidity in financial
markets》
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作者:
Bence Toth, Yves Lemperiere, Cyril Deremble, Joachim de Lataillade,
Julien Kockelkoren, Jean-Philippe Bouchaud
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最新提交年份:
2011
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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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一级分类:Physics 物理学
二级分类:Physics and Society 物理学与社会
分类描述:Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体(人类或其他)的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统(如能源网、运输网络)的物理和工程。
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英文摘要:
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow and on the fact that prices are (to a first approximation) diffusive. This naturally accounts for two striking stylized facts: first, large metaorders have to be fragmented in order to be digested by the liquidity funnel, leading to long-memory in the sign of the order flow. Second, the anomalously small local liquidity induces a breakdown of linear response and a diverging impact of small orders, explaining the "square-root" impact law, for which we provide additional empirical support. Finally, we test our arguments quantitatively using a numerical model of order flow based on the same minimal ingredients.
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PDF链接:
https://arxiv.org/pdf/1105.1694