英文标题：
《Immediate price impact of a stock and its warrant: Power-law or
  logarithmic model?》
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作者：
Hai-Chuan Xu, Zhi-Qiang Jiang and Wei-Xing Zhou (ECUST)
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最新提交年份：
2016
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英文摘要：
  Based on the order flow data of a stock and its warrant, the immediate price impacts of market orders are estimated by two competitive models, the power-law model (PL model) and the logarithmic model (LG model). We find that the PL model is overwhelmingly superior to the LG model, regarding the robustness of the estimated parameters and the accuracy of out-of-sample forecasting. We also find that the price impacts of ask and bid orders are consistent with each other for filled trades, since significant positive correlations are observed between the model parameters of both types of orders. Our findings may provide valuable insights for optimal trade execution.
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中文摘要：
基于股票及其权证的订单流数据，采用幂律模型（PL模型）和对数模型（LG模型）两种竞争模型来估计市场订单的即时价格影响。我们发现，PL模型在估计参数的鲁棒性和样本外预测的准确性方面明显优于LG模型。我们还发现，由于两种类型订单的模型参数之间存在显著的正相关关系，因此，对于填充交易，买卖订单的价格影响是一致的。我们的发现可能为优化交易执行提供有价值的见解。
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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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