Andrey Itkin · 2026 · SSRN Electronic Journal
DOI: 10.2139/ssrn.7537778 · cited by 0 works (OpenAlex) · open-access PDF
Kami memodelkan dampak pasar sebagai tanggapan terhadap aliran net order yang diserahkan dari pedagang latent, yang diaktifkan ketika pergeseran harga dari tingkat yang akan berlaku tanpa pesanan melebihi ambang batas individual. aliran pesanan menghabiskan kolam ini, dan persamaan Langevin umum mengatur pemulihan selama beberapa skala waktu. inti memorinya adalah jumlah eksponensial yang terbatas, sehingga kenaikan Markoviannya akurat bukannya perkiraan. Untuk kolam yang belum selesai, agregasi di bawah asumsi eksplisit pada tanggapan perdagangan individual menghasilkan rezim akar persegi menengah antara linear s
Machine translation (Meta M2M100); the English original follows.
We model market impact as the response to submitted order flow net of counterflow from latent traders, activated when price displacements from the level that would prevail without the order exceed individual thresholds. Order flow depletes this pool, and a generalized Langevin equation governs its recovery over several time scales. Its memory kernels are finite sums of exponentials, so its Markovian lift is exact rather than an approximation. For an undepleted pool, aggregation under explicit assumptions on individual trading responses yields an intermediate square-root regime between linear s
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Topics: Scaling, Econometrics, Markov process, Flow (mathematics), Mathematics, Order (exchange)
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