论文标题
市场影响：经验证据，理论和实践
Market Impact: Empirical Evidence, Theory and Practice
论文作者
论文摘要
我们提出了一种基于粗粒方法的元元的市场影响的理论，在该方法中，供求的微观细节被[0，+\ infty]中的单个参数$ρ\取代，构成了供应需求平衡和在执行元序列期间的市场影响过程。我们的模型对大多数经验观察的统一说明，这些观察已报告并通过方形 - 根源法则在市场驱动的市场观点与订单驱动的观点之间建立了牢固的联系。
We propose a theory of the market impact of metaorders based on a coarse-grained approach where the microscopic details of supply and demand is replaced by a single parameter $ρ\in [0,+\infty]$ shaping the supply-demand equilibrium and the market impact process during the execution of the metaorder. Our model provides an unified explanation of most of the empirical observations that have been reported and establishes a strong connection between the excess volatility puzzle and the order-driven view of the markets through the square-root law.
