英文标题：
《Market Impact: A Systematic Study of Limit Orders》
---
作者：
Emilio Said (FiQuant, MICS, BNP Paribas), Ahmed Bel Hadj Ayed,
  Alexandre Husson, Fr\\\'ed\\\'eric Abergel (FiQuant, MICS)
---
最新提交年份：
2019
---
英文摘要：
  This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into smaller pieces before being sent to the market. We first address the case of aggressive limit orders and then, that of passive limit orders. In both cases, we provide empirical evidence of a power law behaviour for the temporary market impact. The relaxation of the price following the end of the metaorder is also studied, and the long-term impact is shown to stabilize at a level of approximately two-thirds of the maximum impact. Finally, a fair pricing condition during the life cycle of the metaorders is empirically validated.
---
中文摘要：
本文致力于限制指令的市场影响这一重要但很少被探讨的主题。我们的分析基于元订单的专有数据库，即大订单在发送到市场之前被分割成更小的部分。我们首先讨论主动限制指令的情况，然后讨论被动限制指令的情况。在这两种情况下，我们都提供了暂时市场影响的幂律行为的经验证据。还研究了元订单结束后价格的放松，长期影响稳定在最大影响的三分之二左右。最后，对元订单生命周期中的公平定价条件进行了实证验证。
---
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
--
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
--

---
PDF下载：
-->