价格影响的机械成分与信息成分
Mechanical vs. informational components of price impact
摘要：
我们研究的问题是什么原因导致价格变化。我们将交易订单的机械影响定义为在未来没有任何决策变化的情况下未来价格的变化，其信息影响定义为去除机械影响后总影响的剩余部分。我们介绍了一种测量机械冲击的方法，并将其应用于伦敦证券交易所的订单数据。市场订单的平均机械影响作为时间的函数衰减到零，其渐近速率与指数约为1.7的幂律一致。相反，平均信息影响接近一个恒定值。最初的影响完全是机械的，大约是渐近信息影响的一半。信息影响的大小与机械影响呈正相关。对于机械影响始终为零的情况，我们发现信息影响是负面的，即没有机械影响的买入市场订单会产生强烈的负面价格反应。
英文摘要：
We study the problem of what causes prices to change. We define the mechanical impact of a trading order as the change in future prices in the absence of any future changes in decision making, and its it informational impact as the remainder of the total impact once mechanical impact is removed. We introduce a method of measuring mechanical impact and apply it to order book data from the London Stock Exchange. The average mechanical impact of a market order decays to zero as a function of time, at an asymptotic rate that is consistent with a power law with an exponent of roughly 1.7. In contrast the average informational impact builds to approach a constant value. Initially the impact is entirely mechanical, and is about half as big as the asymptotic informational impact. The size of the informational impact is positively correlated to mechanical impact. For cases where the mechanical impact is zero for all times, we find that the informational impact is negative, i.e. buy market orders that have no mechanical impact at all generate strong negative price responses.
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