订单流对价格影响的线性模型I.传播者：

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英文标题：
《Linear models for the impact of order flow on prices I. Propagators:
  Transient vs. History Dependent Impact》
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作者：
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud,
  Fabrizio Lillo and Bence Toth
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最新提交年份：
2016
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英文摘要：
  Market impact is a key concept in the study of financial markets and several models have been proposed in the literature so far. The Transient Impact Model (TIM) posits that the price at high frequency time scales is a linear combination of the signs of the past executed market orders, weighted by a so-called propagator function. An alternative description -- the History Dependent Impact Model (HDIM) -- assumes that the deviation between the realised order sign and its expected level impacts the price linearly and permanently. The two models, however, should be extended since prices are a priori influenced not only by the past order flow, but also by the past realisation of returns themselves. In this paper, we propose a two-event framework, where price-changing and non price-changing events are considered separately. Two-event propagator models provide a remarkable improvement of the description of the market impact, especially for large tick stocks, where the events of price changes are very rare and very informative. Specifically the extended approach captures the excess anti-correlation between past returns and subsequent order flow which is missing in one-event models. Our results document the superior performances of the HDIMs even though only in minor relative terms compared to TIMs. This is somewhat surprising, because HDIMs are well grounded theoretically, while TIMs are, strictly speaking, inconsistent.
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中文摘要：
市场影响是金融市场研究中的一个关键概念，到目前为止，已有文献提出了几种模型。瞬态影响模型（TIM）假设，高频时间尺度下的价格是过去执行的市场订单的符号的线性组合，由所谓的传播函数加权。另一种描述——历史相关影响模型（HDIM）——假设实现的订单号与其预期水平之间的偏差会对价格产生线性和永久性的影响。然而，这两个模型应该扩展，因为价格先验地不仅受到过去订单流的影响，而且还受到过去实现回报本身的影响。在本文中，我们提出了一个两事件框架，其中价格变化和非价格变化事件被分别考虑。两个事件传播模型显著改善了对市场影响的描述，尤其是对于价格变化事件非常罕见且信息量非常大的大型股票。具体而言，扩展的方法捕获了过去收益和后续订单流之间的过度反相关，这在单事件模型中是缺失的。我们的结果记录了HDIMs的优越性能，尽管与TIMs相比，仅在较小的相对方面。这有点令人惊讶，因为HDIM在理论上有很好的基础，而严格来说，TIM是不一致的。
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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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关键词：线性模型 传播者 Quantitative Description QUANTITATIV