论文标题
简单的微观结构解释，对价格影响的凹入性
A simple microstructural explanation of the concavity of price impact
论文作者
论文摘要
本文简单地解释了通过市场的微观结构特性，对元订单的价格影响的渐近凹入性。通过一个模型，该解释更加精确，在这种模型中，订单流与基本价格（即当地价格影响）之间的本地关系是线性的，并具有恒定的斜率，从而使模型动态一致。然而，从一系列共同方向行业中对中间值的预期影响是非线性的，渐近凹陷。拟议的解释的主要结论是，在整个元订单中，这些量以最佳出价和要求价格变化（平均而言），而对执行者有利。反过来，这一结论依赖于另外两个具体的预测，其中一个可以使用公开的市场数据进行测试，至少对于大型股票进行测试。
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship between the order flow and the fundamental price (i.e. the local price impact) is linear, with a constant slope, which makes the model dynamically consistent. Nevertheless, the expected impact on midprice from a large sequence of co-directional trades is nonlinear and asymptotically concave. The main practical conclusion of the proposed explanation is that, throughout a meta-order, the volumes at the best bid and ask prices change (on average) in favor of the executor. This conclusion, in turn, relies on two more concrete predictions, one of which can be tested, at least for large-tick stocks, using publicly available market data.
