标题： 平方根影响定律也适用于期权市场 显示英文标题

标题： The square-root impact law also holds for option markets

摘要： 许多关于股票和期货合约的独立研究已经证明，市场影响与成交总量的平方根成正比。 期权市场的市场影响在数量上是否也类似呢？ 为了回答这个问题，我们分析了一个大型的期权交易专有数据集。 我们发现，在这种情况下，平方根定律确实成立。 这一发现支持了存在一种普遍基础机制的论点。 显示英文摘要

摘要： Many independent studies on stocks and futures contracts have established that market impact is proportional to the square-root of the executed volume. Is market impact quantitatively similar for option markets as well? In order to answer this question, we have analyzed the impact of a large proprietary data set of option trades. We find that the square-root law indeed holds in that case. This finding supports the argument for a universal underlying mechanism.