The effects of trade size and market depth on immediate price impact in a limit order book market

Pham Manh Cuong; Anderson Heather Margot; Duong Huu Nhan; Lajbcygier Paul

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The effects of trade size and market depth on immediate price impact in a limit order book market

机译：贸易规模和市场深度对极限票据市场立即对价格影响的影响

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We compare trade size to the prevailing market depth at the best level in the limit order book to detect and account for zero impact trades in an immediate price impact model. Our model also incorporates standard trade attributes (trade size, market capitalization and volatility) in a dynamic setting. The incorporation of market depth information reduces the mean absolute/squared forecast error of an immediate price impact prediction by about 60%. After controlling for trade attributes, market depth, price impact dynamics and intra-and interday periodicities (in order of relative importance) all improve the prediction of a trade's price impact. We demonstrate the value of our model by showing that splitting a big order into a series of smaller trades results in a reduction of between 60% and 82% of the immediate price impact cost of the big order. We also find that our depth indicator helps with the prediction of order flow and permanent price impact. (c) 2020 Elsevier B.V. All rights reserved.

机译：我们将贸易规模与最佳水平进行比较到极限秩序簿中的最佳水平，以检测和占据直接价格影响模型中的零影响交易。我们的模型还在动态设置中包含标准的贸易属性（交易规模，市场资本化和波动）。纳入市场深度信息，减少了立即价格影响预测的平均绝对/平方预测误差约60％。控制交易属性后，市场深度，价格影响动态和内部周期（按相对重要的顺序）全部改善了对贸易价格影响的预测。我们通过表明将大秩序分成一系列较小的交易，降低了大订单的直接价格影响成本的减少，降低了一系列较小的交易。我们还发现我们的深度指示器有助于预测订单流量和永久价格影响。（c）2020 Elsevier B.v.保留所有权利。

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来源
《Journal of Economic Dynamics and Control》 |2020年第11期|103992.1-103992.27|共27页
作者
Pham Manh Cuong; Anderson Heather Margot; Duong Huu Nhan; Lajbcygier Paul;
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作者单位

Univ Lancaster Management Sch Lancaster LA1 4YX England;

Monash Univ Monash Business Sch Wellington Rd Clayton Vic 3800 Australia;

Monash Univ Monash Business Sch Wellington Rd Clayton Vic 3800 Australia;

Monash Univ Monash Business Sch Wellington Rd Clayton Vic 3800 Australia;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Immediate price impact; Market depth; Order flow; Forecasts;

机译：立即的价格影响;市场深度;订购流量;预测;

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专利

1. Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange [J] . Carollo A., Vaglica G., Lillo F., Quantitative finance . 2012,第4期

机译：并行市场中的交易活动和价格影响：伦敦证券交易所的SETS与账外市场
2. Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange [J] . AngeloCarolloaGabriellaVaglicaaFabrizioLilloabcRosarioN.Mantegnaa* Quantitative Finance . 2012,第4期

机译：平行市场上的交易活动和价格影响：伦敦证券交易所的SETS与账外市场
3. Trading mechanisms and market quality: Limit-order books versus dealership markets [J] . Xing Xiaochuan, Xue Yi Economics letters . 2017,第MAY期

机译：交易机制和市场质量：限价订单簿与经销商市场
4. How Does Limit Order Book Information Affect Trading Strategy and Market Quality: Simulations of an Agent-Based Stock Market [C] . Cheng, Wei, Liu, Shan-cun, Jiao, He-ying, International Conference on Management and Service Science;MASS 2009 . 2009

机译：限制订单簿信息如何影响交易策略和市场质量：基于代理的股票市场的模拟
5. Issues of market efficiency in the Chinese stock markets: I. Day-of-the-week effect, month-of-the-year effect and turn-of-the-month effect in China's stock markets. II. Are the two stock markets (Shanghai and Shenzhen) in China integrated or segmented? III. The effects of re-imposing a 10% price limit on the Chinese stock markets. [D] . Feng, Licheng. 1999

机译：中国股票市场的市场效率问题：I.中国股票市场的周日效应，月度效应和月度效应。二。中国的两个股票市场（上海和深圳）是整合还是细分？三，重新对中国股市施加10％的价格限制的影响。
6. An Endowment Effect Study in the European Union Emission Trading Market based on Trading Price and Price Fluctuation [O] . Jiqiang Wang, Fu Gu, Yingpeng Liu, 2020

机译：基于交易价格和价格波动的欧盟排放交易市场的Effect赋效应研究
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

The effects of trade size and market depth on immediate price impact in a limit order book market

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