英文标题：
《Deviations in expected price impact for small transaction volumes under
  fee restructuring》
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作者：
Michael Harvey, Dieter Hendricks, Tim Gebbie, Diane Wilcox
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最新提交年份：
2016
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英文摘要：
  We report on the occurrence of an anomaly in the price impacts of small transaction volumes following a change in the fee structure of an electronic market. We first review evidence for the existence of a master curve for price impact on the Johannesburg Stock Exchange (JSE). On attempting to re-estimate a master curve after fee reductions, it is found that the price impact corresponding to smaller volume trades is greater than expected relative to prior estimates for a range of listed stocks. We show that a master curve for price impact can be found following rescaling by an appropriate liquidity proxy, providing a means for practitioners to approximate price impact curves without onerous processing of tick data.
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中文摘要：
我们报告了电子市场费用结构发生变化后，小交易量的价格影响出现异常。我们首先回顾了约翰内斯堡证券交易所（JSE）存在价格影响主曲线的证据。在尝试在费用减少后重新估计主曲线时，发现与一系列上市股票的先前估计相比，小交易量交易对应的价格影响大于预期。我们表明，在通过适当的流动性代理进行重新缩放后，可以找到价格影响的主曲线，这为从业者提供了一种近似价格影响曲线的方法，而无需繁琐地处理刻度数据。
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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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