摘要翻译：
为了研究流动性不足对价格波动的影响，我们引入了一个微观的定单动态模型。我们使用存储订单的平均密度（粒度$G$)作为流动性的代理。这导致价格影响面取决于成交量$\omega$和$g$。对价格影响面的体积（在粒度上的平均值）的依赖关系是一个凹幂律函数$<\phi(\omega，g)>_g\sim\omega^\delta$，其$\delta约为0.59$。相反，对粒度的依赖关系是$\phi(\omega,g\omega)\sim g^\alpha$与$\alpha\约为-1$，显示了价格波动在$g\到0$的极限范围内的差异。此外，即使在流动性有限的中间情况下，这种影响也可能非常大，它是理解价格大幅波动起源的自然候选因素。
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英文标题：
《Liquidity Crisis, Granularity of the Order Book and Price Fluctuations》
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作者：
M. Cristelli, V. Alfi, L. Pietronero, A. Zaccaria
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最新提交年份：
2009
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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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英文摘要：
  We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity $g$) as a proxy for liquidity. This leads to a Price Impact Surface which depends on both volume $\omega$ and $g$. The dependence on the volume (averaged over the granularity) of the Price Impact Surface is found to be a concave power law function $<\phi(\omega,g)>_g\sim\omega^\delta$ with $\delta\approx 0.59$. Instead the dependence on the granularity is $\phi(\omega,g|\omega)\sim g^\alpha$ with $\alpha\approx-1$, showing a divergence of price fluctuations in the limit $g\to 0$. Moreover, even in intermediate situations of finite liquidity, this effect can be very large and it is a natural candidate for understanding the origin of large price fluctuations.
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PDF链接：
https://arxiv.org/pdf/0902.4159