英文标题：
《Universal scaling and nonlinearity of aggregate price impact in
  financial markets》
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作者：
Felix Patzelt, Jean-Philippe Bouchaud
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最新提交年份：
2017
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英文摘要：
  How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price impact has a universal non-linear shape for trades aggregated on any intra-day scale. Its shape varies little across instruments, but drastically different master curves are obtained for order-volume and -sign impact. The scaling is largely determined by the relevant Hurst exponents. We further show that extreme order flow imbalance is not associated with large returns. To the contrary, it is observed when the price is \"pinned\" to a particular level. Prices move only when there is sufficient balance in the local order flow. In fact, the probability that a trade changes the mid-price falls to zero with increasing (absolute) order-sign bias along an arc-shaped curve for all intra-day scales. Our findings challenge the widespread assumption of linear aggregate impact. They imply that market dynamics on all intra-day timescales are shaped by correlations and bilateral adaptation in the flows of liquidity provision and taking.
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中文摘要：
股票价格如何以及为什么会波动，这是一个有数百年历史的问题，至今仍未得到确切的回答。最近，人们的注意力转移到了更高的频率，即在不同的时间尺度上分段处理交易。在这里，我们揭示了价格影响对于任何日内规模的交易都具有普遍的非线性形状。其形状在不同仪器之间变化不大，但订单量和符号影响的主曲线却截然不同。标度在很大程度上取决于相关的赫斯特指数。我们进一步表明，极端的订单流不平衡与大回报无关。相反，当价格“固定”到特定水平时，就会观察到这种情况。只有当本地订单流中有足够的平衡时，价格才会变动。事实上，对于所有日内标度，一笔交易改变中间价的概率随着（绝对）订单号偏差沿弧形曲线的增加而降至零。我们的发现挑战了线性总体影响的普遍假设。它们意味着，所有日内时间尺度上的市场动态都是由流动性提供和接受流中的相关性和双边适应形成的。
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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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