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An agent-based model for market impact

机译：基于代理的市场影响模型

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Based on recent theoretical and empirical developments this paper proposes an agent-based model for market impact. Three types of agents are present on the market: Liquidity consumers, liquidity providers and noise traders. The first group creates large orders based on portfolio considerations. When they submit an order to the market they split it up into smaller parts to evade price impact costs. The second group of agents acts as liquidity providers which forecast order flow and supply liquidity at both sides of the order book. Noise traders represent the third group of agents which cover all other strategies on the market. The model is able to produce both temporary and permanent market impact while keeping statistical price efficiency as well as concave market impact functions in relative order sizes. The results are insensitive to reasonable parameter variations.
机译：基于最新的理论和经验发展，本文提出了一种基于代理的市场影响力模型。市场上存在三种类型的代理：流动性消费者，流动性提供者和噪声交易者。第一组基于投资组合考虑事项创建大订单。当他们向市场提交订单时，他们将其分成较小的部分以规避价格影响成本。第二组代理人充当流动性提供者，它们预测订单流向并在订单簿的两侧供应流动性。噪声交易者代表了第三组代理商，涵盖了市场上的所有其他策略。该模型能够产生临时和永久市场影响，同时保持统计价格效率以及相对订单大小中的隐性市场影响函数。结果对合理的参数变化不敏感。

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