没有订单簿的价格影响：对OTC信用指数市场的研究
Price impact without order book: A study of the OTC credit index market
摘要：
我们提出了一个研究的价格影响，在场外信用指数市场，没有限价订单簿的使用。合约通过交易商进行交易，交易商为客户的订单而竞争。尽管这种独特的微观结构，我们成功地应用传播技术来估计个别交易的价格影响。由于订单通常比多边市场更少被分割，因此观察到的影响主要是永久性的，与理论预期一致。提出了一种简单的方法来纠正我们在买卖交易分类中的错误。我们发现，在2015年底和2016年初，订单流相关性出现了非常显著的暂时性增长，我们将其归因于投资者之间订单分割或羊群效应的增加。我们还发现，有迹象表明，向较少的经销商发布的订单可能会产生较低的价格影响。定量结果与其他更经典市场的早期发现是一致的，进一步支持价格影响是一种普遍现象，在很大程度上独立于市场微观结构的论点。
英文摘要：
We present a study of price impact in the over-the-counter credit index market, where no limit order book is used. Contracts are traded via dealers, that compete for the orders of clients. Despite this distinct microstructure, we successfully apply the propagator technique to estimate the price impact of individual transactions. Because orders are typically split less than in multilateral markets, impact is observed to be mainly permanent, in line with theoretical expectations. A simple method is presented to correct for errors in our classification of trades between buying and selling. We find a very significant, temporary increase in order flow correlations during late 2015 and early 2016, which we attribute to increased order splitting or herding among investors. We also find indications that orders advertised to less dealers may have lower price impact. Quantitative results are compatible with earlier findings in other more classical markets, further supporting the argument that price impact is a universal phenomenon, to a large degree independent of market microstructure.
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