交叉影响核的一个特征
A characterisation of cross-impact kernels
摘要：
交易一种金融资产会推高其价格以及其他资产的价格，这种现象被称为交叉影响。我们考虑一类基于内核的交叉影响模型，并研究适合交易目的的参数化。我们专注于核，保证价格是鞅和预期未来的订单流（鞅可接受的内核），并确保没有可能的价格操纵（无统计仲裁可接受的内核）。我们确定这两个类之间的重叠，并提供校准数据的交叉影响内核的公式。我们使用SP500期货数据来说明我们的结果。
英文摘要：
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. We consider a general class of kernel-based cross-impact models and investigate suitable parameterisations for trading purposes. We focus on kernels that guarantee that prices are martingales and anticipate future order flow (martingale-admissible kernels) and those that ensure there is no possible price manipulation (no-statistical-arbitrage-admissible kernels). We determine the overlap between these two classes and provide formulas for calibration of cross-impact kernels on data. We illustrate our results using SP500 futures data.
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