Andrey Itkin · 2026 · SSRN Electronic Journal
DOI: 10.2139/ssrn.7537778 · cited by 0 works (OpenAlex) · open-access PDF
我们将市场影响模型化为来自隐形交易者提交的订单流量网的响应,当价格从没有订单而存在的水平移动时激活。订单流量消耗了这个池,而一个通用Langevin方程式则管理了其在几个时间尺度的恢复。它的内存内核是指数的有限总和,所以它的Markovian升值是准确的,而不是一个接近。
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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