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英文标题：
《Co-impact: Crowding effects in institutional trading activity》
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作者：
Fr\\\'ed\\\'eric Bucci, Iacopo Mastromatteo, Zolt\\\'an Eisler, Fabrizio
Lillo, Jean-Philippe Bouchaud and Charles-Albert Lehalle
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最新提交年份：
2018
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英文摘要：
This paper is devoted to the important yet unexplored subject of crowding effects on market impact, that we call \"co-impact\". Our analysis is based on a large database of metaorders by institutional investors in the U.S. equity market. We find that the market chiefly reacts to the net order flow of ongoing metaorders, without individually distinguishing them. The joint co-impact of multiple contemporaneous metaorders depends on the total number of metaorders and their mutual sign correlation. Using a simple heuristic model calibrated on data, we reproduce very well the different regimes of the empirical market impact curves as a function of volume fraction $\\phi$: square-root for large $\\phi$, linear for intermediate $\\phi$, and a finite intercept $I_0$ when $\\phi \\to 0$. The value of $I_0$ grows with the sign correlation coefficient. Our study sheds light on an apparent paradox: How can a non-linear impact law survive in the presence of a large number of simultaneously executed metaorders?
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中文摘要：
本文致力于研究拥挤效应对市场影响这一尚未探索的重要课题，我们称之为“共同影响”。我们的分析基于美国股市机构投资者的大型元指令数据库。我们发现，市场主要对正在进行的元订单的净订单流作出反应，而没有单独区分它们。多个同期元序的联合影响取决于元序的总数及其相互符号相关性。使用一个基于数据校准的简单启发式模型，我们很好地再现了作为体积分数$\\ phi$函数的经验市场影响曲线的不同状态：大型$\\ phi$的平方根，中间$\\ phi$的线性，以及$\\ phi \\至0$时的有限截距$\\ I\\u 0$。$I\\u 0$的值随符号相关系数的增大而增大。我们的研究揭示了一个明显的悖论：在存在大量同时执行的元指令的情况下，非线性冲击定律如何生存？
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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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