标题： 异常价格影响与金融市场中流动性的重要性 显示英文标题

标题： Anomalous price impact and the critical nature of liquidity in financial markets

摘要： 我们提出了一种市场流动性的动力学理论，该理论预测平均供需分布呈V形，并围绕当前价格的{\it 为零}附近。 这一结果具有普遍性，仅依赖于关于订单流的温和假设以及价格（在第一近似下）是扩散的这一事实。 这自然解释了两个显著的典型事实：首先，大元订单必须被拆分以被流动性漏斗消化，导致订单流符号的长记忆性。 其次，异常小的局部流动性导致线性响应的崩溃和小订单影响的发散，解释了“平方根”影响定律，我们提供了额外的实证支持。 最后，我们使用基于相同最小要素的订单流数值模型对我们的论点进行了定量测试。 显示英文摘要

摘要： We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow and on the fact that prices are (to a first approximation) diffusive. This naturally accounts for two striking stylized facts: first, large metaorders have to be fragmented in order to be digested by the liquidity funnel, leading to long-memory in the sign of the order flow. Second, the anomalously small local liquidity induces a breakdown of linear response and a diverging impact of small orders, explaining the "square-root" impact law, for which we provide additional empirical support. Finally, we test our arguments quantitatively using a numerical model of order flow based on the same minimal ingredients.