Market impact as anticipation of the order flow imbalance

Autor:	Thibault Jaisson
Rok vydání:	2015
Předmět:	Quantitative Finance - Trading and Market Microstructure Financial economics Market efficiency Power law 91G99 Trading and Market Microstructure (q-fin.TR) FOS: Economics and business Order (exchange) Long memory Economics Exponent Econometrics Penrose square root law Market impact Martingale (probability theory) General Economics Econometrics and Finance Finance
Zdroj:	Quantitative Finance. 15:1123-1135
ISSN:	1469-7696 1469-7688
DOI:	10.1080/14697688.2015.1013148
Popis:	In this paper, we assume that the permanent market impact of metaorders is linear and that the price is a martingale. Those two hypotheses enable us to derive the evolution of the price from the dynamics of the flow of market orders. For example, if the market order flow is assumed to follow a nearly unstable Hawkes process, we retrieve the apparent long memory of the flow together with a power law impact function, which is consistent with the celebrated square root law. We also link the long memory exponent of the sign of market orders with the impact function exponent. One of the originalities of our approach is that our results are derived without assuming that market participants are able to detect the beginning of metaorders.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::93d41ca97df890e0ebec8f45575d4af5 https://doi.org/10.1080/14697688.2015.1013148 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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