发表机构
Stanford MS&E（斯坦福大学管理科学与工程系）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本文针对现有价格冲击模型忽略交叉冲击与瞬时冲击的问题，提出含半正定矩阵与幂律衰减核的凸二次成本模型，在原油期货交易中实证验证其有效性。
AI 中文摘要
交易成本对交易策略的成败至关重要，尤其在商品和宏观市场的相对价值交易中，其利润空间仅为几个基点。价格冲击是交易成本的核心组成部分。现有价格冲击模型通常包含自冲击（即某一合约的交易仅影响该合约自身价格），但忽略了两种已被充分证实的效应：交叉冲击（即某一合约的交易也会影响相关合约的价格）和瞬时冲击（即价格冲击随时间衰减，因此平仓操作可收回部分建仓成本）。未纳入这些效应的模型会高估相对价值交易的冲击，这类交易的相关合约会在数天内建仓和平仓，从而错失潜在盈利交易。本文采用凸二次成本对上述两种效应进行建模：在每个时期，由波动率、交易量和相关性预测值构建的半正定矩阵将跨合约交易关联起来；幂律衰减核则将跨时期交易关联起来。即使规划期内流动性发生变化，所得成本也不会允许价格操纵。该模型在商品指数调仓前后的原油期货日历价差交易中得到了实证验证。
英文摘要
Transaction costs can make or break a trading strategy, particularly in relative-value trading of commodity and macro markets, where edges are a few basis points. Price impact is a central component of transaction cost. Price impact models usually include self-impact (a trade in a contract moves that contract's price) but omit two well-documented effects: cross-impact (a trade in one contract also moves the prices of related contracts) and transient impact (price impact decays over time, so an unwind recovers part of the entry cost). A model without these effects overprices the impact of relative-value trades, whose correlated legs are built and unwound over days, and so forgoes potentially profitable trades. This paper models both effects with a convex quadratic cost. In each period, a positive semidefinite matrix built from volatility, volume, and correlation forecasts couples trades across contracts. A power-law decay kernel then couples trades across periods. The resulting cost admits no price manipulation even when liquidity varies over the planning horizon. The model is demonstrated empirically on calendar spread trading of crude oil futures around the commodity index roll.
