论文标题
如何从第一原则中构建跨局势模型：理论要求和经验结果
How to build a cross-impact model from first principles: Theoretical requirements and empirical results
论文作者
论文摘要
交易金融工具会推动其价格和其他资产的价格，这种现象称为交叉影响。为了使用，交叉撞击模型必须符合数据并进行良好的行为，以便将它们应用于最佳交易等应用程序。为了解决这些问题，我们介绍了一组理想的属性，这些属性限制了交叉影响模型。我们根据它们满足的属性并在三种不同的资产类别上对互相关模型进行分类，以评估拟合优度。我们发现，在整个市场上，两种模型都有强大的范围，但是只有一个模型满足所有理想的属性，并且适合应用程序。
Trading a financial instrument pushes its price and those of other assets, a phenomenon known as cross-impact. To be of use, cross-impact models must fit data and be well-behaved so they can be applied in applications such as optimal trading. To address these issues, we introduce a set of desirable properties which constrain cross-impact models. We classify cross-impact models according to which properties they satisfy and stress them on three different asset classes to evaluate goodness-of-fit. We find that two models are robust across markets, but only one satisfies all desirable properties and is appropriate for applications.
