论文标题
永久市场影响游戏的NASH平衡的瞬态影响
Transient impact from the Nash equilibrium of a permanent market impact game
论文作者
论文摘要
大量的经验文献表明，财务价格的市场影响是短暂的。但是，从理论的角度来看，这种暂时性的起源仍不清楚。我们表明，在市场影响游戏中，固定和永久影响的市场影响游戏中的NASH平衡引起了隐含的瞬态影响。隐含的影响是可以从方向交易者的交易概况和对订单流量的价格反应中从经验上推断出的影响。具体而言，我们提出了两种方法来得出瞬态冲击模型的衰减内核的功能形式，这是瞬时影响的最流行的经验模型之一，是从NASH平衡处的方向交易者的行为。第一个是基于过去订单流量与未来价格变化之间的关系，而在第二个我们解决了反相反的最佳执行问题。我们表明，在第一种方法中，隐含内核是唯一的，而在第二种情况下，存在无限的解决方案，并且可以始终推断出线性内核。
A large body of empirical literature has shown that market impact of financial prices is transient. However, from a theoretical standpoint, the origin of this temporary nature is still unclear. We show that an implied transient impact arises from the Nash equilibrium between a directional trader and one arbitrageur in a market impact game with fixed and permanent impact. The implied impact is the one that can be empirically inferred from the directional trader's trading profile and price reaction to order flow. Specifically, we propose two approaches to derive the functional form of the decay kernel of the Transient Impact Model, one of the most popular empirical models for transient impact, from the behaviour of the directional trader at the Nash equilibrium. The first is based on the relationship between past order flow and future price change, while in the second we solve an inverse optimal execution problem. We show that in the first approach the implied kernel is unique, while in the second case infinite solutions exist and a linear kernel can always be inferred.
