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原文連結
論文資訊
- 類型：已發表論文
- 日期：2013-11-01
摘要
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e. the impact per share of large metaorders is smaller than that of small metaorders. We formulate a stylized model of an algorithmic execution service and derive a fair pricing condition, which says that the average transaction price of the metaorder is equal to the price after trading is completed. We show that at equilibrium the distribution of trading volume adjusts to reflect 資訊, and dictates the shape of the impact function. The resulting theory makes empirically testable predictions for the functional form of both the temporary and
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