论文标题
价格轨迹数据是否会提高市场影响估计的效率？
Do price trajectory data increase the efficiency of market impact estimation?
论文作者
论文摘要
市场影响是大型机构投资者和活跃市场参与者面临的重要问题。在本文中，我们严格研究了来自元订单的价格轨迹数据是否从统计估计的渐近视图中提高了估计的效率。我们表明，对于流行的市场影响模型，基于部分价格轨迹数据的估计方法，尤其是那些包含早期贸易价格的数据，可以徒劳地超过建立的估计方法（例如，基于VWAP）。我们讨论了这种现象的理论和经验含义，以及如何容易将它们纳入实践中。
Market impact is an important problem faced by large institutional investor and active market participant. In this paper, we rigorously investigate whether price trajectory data from the metaorder increases the efficiency of estimation, from an asymptotic view of statistical estimation. We show that, for popular market impact models, estimation methods based on partial price trajectory data, especially those containing early trade prices, can outperform established estimation methods (e.g., VWAP-based) asymptotically. We discuss theoretical and empirical implications of such phenomenon, and how they could be readily incorporated into practice.
