股票及其权证的即时价格影响：幂律还是对数模型？
Immediate price impact of a stock and its warrant: Power-law or logarithmic model?
摘要：
基于股票及其权证的订单流数据，分别采用幂律模型（PL模型）和对数模型（LG模型）对市价订单的即时价格影响进行了估计。我们发现，PL模型是压倒性地优于LG模型，关于估计参数的鲁棒性和样本预测的准确性。我们还发现，要价和出价订单的价格影响是相互一致的填充交易，因为显着的正相关关系，观察两种类型的订单的模型参数之间。我们的发现可能为优化交易执行提供有价值的见解。
英文摘要：
Based on the order flow data of a stock and its warrant, the immediate price impacts of market orders are estimated by two competitive models, the power-law model (PL model) and the logarithmic model (LG model). We find that the PL model is overwhelmingly superior to the LG model, regarding the robustness of the estimated parameters and the accuracy of out-of-sample forecasting. We also find that the price impacts of ask and bid orders are consistent with each other for filled trades, since significant positive correlations are observed between the model parameters of both types of orders. Our findings may provide valuable insights for optimal trade execution.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
