摘要翻译：
通常的观点认为，一般而言，大交易引起大的价格变动，而小交易引起小的价格变动。但是，对于价格变动幅度特别大的情况，交易规模和消息面的影响较小，而流动性（特别是限价指令书上的价差）的影响更大。因此，可能存在其他影响因素的即时价格影响贸易。本文通过对任意规模交易前后价格变化的力学分析，确定了交易规模、买卖价差、限价单买卖双方的价差和未成交数量对限价单价格变化的影响。我们提出了两个回归模型来考察这些微观因素对买方发起的部分填充交易、卖方发起的部分填充交易、买方发起的填充交易和卖方发起的填充交易价格影响的影响。我们发现它们在数量上具有相似的解释能力，这些因素可以解释高达44%的价格影响。交易规模大，买卖价差宽，同方流动性高，反方流动性低，都会造成较大的价格冲击。我们还发现，相对方的流动性比同方的流动性有更大的影响。我们的结果揭示了直接价格影响的决定因素。
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英文标题：
《Determinants of immediate price impacts at the trade level in an
  emerging order-driven market》
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作者：
Wei-Xing Zhou (ECUST)
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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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：
  The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the trade size and news play a minor role, while the liquidity (especially price gaps on the limit order book) is a more influencing factor. Hence, there might be other influencing factors of immediate price impacts of trades. In this paper, through mechanical analysis of price variations before and after a trade of arbitrary size, we identify that the trade size, the bid-ask spread, the price gaps and the outstanding volumes at the bid and ask sides of the limit order book have impacts on the changes of prices. We propose two regression models to investigate the influences of these microscopic factors on the price impact of buyer-initiated partially filled trades, seller-initiated partially filled trades, buyer-initiated filled trades, and seller-initiated filled trades. We find that they have quantitatively similar explanation powers and these factors can account for up to 44% of the price impacts. Large trade sizes, wide bid-ask spreads, high liquidity at the same side and low liquidity at the opposite side will cause a large price impact. We also find that the liquidity at the opposite side has a more influencing impact than the liquidity at the same side. Our results shed new lights on the determinants of immediate price impacts.
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PDF链接：
https://arxiv.org/pdf/1201.5448