标题： 交易层面新兴指令驱动市场中的即时价格影响因素 显示英文标题

标题： Determinants of immediate price impacts at the trade level in an emerging order-driven market

摘要： 普遍观点认为，通常情况下，大额交易会导致价格大幅变动，而小额交易则导致价格小幅变动。 然而，对于极端的价格变动，交易规模和新闻的影响较小，而流动性（尤其是限价订单簿中的价格缺口）是更主要的影响因素。 因此，可能存在其他影响交易即时价格冲击的因素。 在本文中，通过分析任意规模交易前后价格的变化，我们确定了交易规模、买卖价差、价格缺口以及限价订单簿买卖盘的未完成数量对价格变化有影响。 我们提出了两个回归模型，以研究这些微观因素对买方发起的部分成交交易、卖方发起的部分成交交易、买方发起的完全成交交易和卖方发起的完全成交交易的价格冲击的影响。 我们发现它们在定量上具有相似的解释力，这些因素可以解释高达44%的价格冲击。 大额交易规模、宽的买卖价差、同一方向的高流动性和相反方向的低流动性会导致较大的价格冲击。 我们还发现，相反方向的流动性比同一方向的流动性具有更大的影响。 我们的结果为即时价格冲击的决定因素提供了新的见解。 显示英文摘要

摘要： The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the trade size and news play a minor role, while the liquidity (especially price gaps on the limit order book) is a more influencing factor. Hence, there might be other influencing factors of immediate price impacts of trades. In this paper, through mechanical analysis of price variations before and after a trade of arbitrary size, we identify that the trade size, the bid-ask spread, the price gaps and the outstanding volumes at the bid and ask sides of the limit order book have impacts on the changes of prices. We propose two regression models to investigate the influences of these microscopic factors on the price impact of buyer-initiated partially filled trades, seller-initiated partially filled trades, buyer-initiated filled trades, and seller-initiated filled trades. We find that they have quantitatively similar explanation powers and these factors can account for up to 44% of the price impacts. Large trade sizes, wide bid-ask spreads, high liquidity at the same side and low liquidity at the opposite side will cause a large price impact. We also find that the liquidity at the opposite side has a more influencing impact than the liquidity at the same side. Our results shed new lights on the determinants of immediate price impacts.