论文标题
衡量价格影响和交易的信息内容，以时期的环境
Measuring price impact and information content of trades in a time-varying setting
论文作者
论文摘要
我们提出了一个非线性观察驱动的版本的Hasbrouck（1991）模型，用于动态估计交易的市场影响和信息内容。我们发现，市场影响显示出一种盘中模式，并叠加了大波动。其中一些是外源性的，例如，我们研究了FOMC公告周围的市场影响动态。与Hasbrouck（1991）相反，我们发现交易的信息内容取决于当地流动性水平以及价格和交易的最新历史。最后，我们使用该模型来估计随时间变化的永久影响参数，从而允许执行动态交易成本分析。
We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large fluctuations. Some of them are exogenous, and, as an example, we investigate market impact dynamics around FOMC announcements. Contrary to Hasbrouck (1991), we find that the information content of trades depends on the local liquidity level and the recent history of prices and trades. Finally, we use the model to estimate the time-varying permanent impact parameter, which allows performing a dynamic transaction cost analysis.
