英文标题：
《The amazing power of dimensional analysis: Quantifying market impact》
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作者：
Mathias Pohl, Alexander Ristig, Walter Schachermayer and Ludovic
  Tangpi
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最新提交年份：
2017
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英文摘要：
  This note complements the inspiring work on dimensional analysis and market microstructure by Kyle and Obizhaeva [18]. Following closely these authors, our main result shows by a similar argument as usually applied in physics the following remarkable fact. If the market impact of a meta-order only depends on four well-defined and financially meaningful variables, then -- up to a constant -- there is only one possible form of this dependence. In particular, the market impact is proportional to the square-root of the size of the meta-order.   This theorem can be regarded as a special case of a more general result of Kyle and Obizhaeva. These authors consider five variables which might have an influence on the size of the market impact. In this case one finds a richer variety of possible functional relations which we precisely characterize. We also discuss the analogies to classical arguments from physics, such as the period of a pendulum.
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中文摘要：
本说明补充了Kyle和Obizhaeva在维度分析和市场微观结构方面的鼓舞人心的工作【18】。紧跟着这些作者，我们的主要结果通过一个与物理学中通常应用的论点相似的论点，表明了以下显著的事实。如果一个元订单的市场影响只取决于四个定义明确且在财务上有意义的变量，那么——直到一个常数——这种依赖性只有一种可能的形式。特别是，市场影响与元订单大小的平方根成正比。这个定理可以看作是Kyle和Obizhaeva更一般结果的特例。这些作者考虑了可能影响市场影响大小的五个变量。在这种情况下，我们可以找到更丰富的函数关系，我们可以精确地描述这些关系。我们还讨论了与经典物理参数的类比，例如钟摆的周期。
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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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