标题： 基本因素是否塑造价格反应? 线性影响模型的批判性评估 显示英文标题

标题： Do fundamentals shape the price response? A critical assessment of linear impact models

摘要： 我们比较了平稳的Kyle模型的预测，这是一个在市场价格通过订单流中编码的信息预测基本价值的微观基础多步线性价格影响模型，与传播器模型的预测，这是一个纯粹的数据驱动模型，其中交易通过时间衰减核机械地影响价格。 我们发现，值得注意的是，由于在小时间尺度上出现普遍性，这两个模型在高频下预测完全相同的价格动态。 另一方面，我们发现这些模型在影响函数的整体强度上存在差异，而我们能够将这一差异与市场中的过度波动量联系起来。 我们揭示了一个高频区间与低频区间的交叉现象，在高频区间中，市场对已签名订单流的反应是次线性的，而在低频区间中，价格对订单流不平衡的反应是线性的。 总体而言，我们将市场微观结构文献中的结果（价格对交易量的次线性反应）与涉及宏观经济相关时间尺度的结果（通常假设线性关系）结合起来。 显示英文摘要

摘要： We compare the predictions of the stationary Kyle model, a microfounded multi-step linear price impact model in which market prices forecast fundamentals through information encoded in the order flow, with those of the propagator model, a purely data-driven model in which trades mechanically impact prices with a time-decaying kernel. We find that, remarkably, both models predict the exact same price dynamics at high frequency, due to the emergence of universality at small time scales. On the other hand, we find those models to disagree on the overall strength of the impact function by a quantity that we are able to relate to the amount of excess-volatility in the market. We reveal a crossover between a high-frequency regime in which the market reacts sub-linearly to the signed order flow, to a low-frequency regime in which prices respond linearly to order flow imbalances. Overall, we reconcile results from the literature on market microstructure (sub-linearity in the price response to traded volumes) with those relating to macroeconomically relevant timescales (in which a linear relation is typically assumed).