文献类型：期刊文献

英文题名：Immediate price impact of a stock and its warrant: Power-law or logarithmic model?

作者：Xu, Hai-Chuan[1,2];Jiang, Zhi-Qiang[3,4];Zhou, Wei-Xing[4,5]

机构：[1]East China Univ Sci & Technol, Res Ctr Econophys, Dept Finance, 130 Meilong Rd, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Postdoctoral Res Stn, 130 Meilong Rd, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Dept Finance, 130 Meilong Rd, Shanghai 200237, Peoples R China;[4]East China Univ Sci & Technol, Res Ctr Econophys, 130 Meilong Rd, Shanghai 200237, Peoples R China;[5]East China Univ Sci & Technol, Dept Math, Dept Finance, 130 Meilong Rd, Shanghai 200237, Peoples R China

年份：2017

卷号：31

期号：8

外文期刊名：INTERNATIONAL JOURNAL OF MODERN PHYSICS B

收录：;WOS:【SSCI(收录号:WOS:000398938400005)，SCI-EXPANDED(收录号:WOS:000398938400005)】；

基金：We acknowledge financial support from National Natural Science Foundation of China (71501072 and 71532009) and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Econophysics; immediate price impact; limit order book

摘要：Based on the order flow data of a stock and its warrant, the immediate price impacts of market orders are estimated by two competitive models, the power-law model (PL model) and the logarithmic model (LG model). We find that the PL model is overwhelmingly superior to the LG model, regarding the robustness of the estimated parameters and the accuracy of out-of-sample forecasting. We also find that the price impacts of ask and bid orders are consistent with each other for filled trades, since significant positive correlations are observed between the model parameters of both types of orders. Our findings may provide valuable insights for optimal trade execution.