论文标题
大小匹配：市场影响如何取决于交易的集中度
Matching in size: How market impact depends on the concentration of trading
论文作者
论文摘要
我们表明，填写大量不同的订单会造成额外的市场影响，而不是用少量的同行填写订单。因此，为了获得最佳执行，在大型（LIS）场所中，机会主义地填写尽可能少的同行可能是有益的。 本文介绍了集中交易的概念，这种情况是在一个或几个交易员在给定时间段内大量买卖的情况，例如执行大订单时。使用伦敦证券交易所数据，我们显示集中交易除了（智能）订单路由引起的影响外，还会影响价格影响。但是，当与市场另一端的类似集中的对应物匹配时，影响大大降低了。这表明，在LIS场地上公开订单有望改善执行绩效。
We show that filling an order with a large number of distinct counterparts incurs additional market impact, as opposed to filling the order with a small number of counterparts. For best execution, therefore, it may be beneficial to opportunistically fill orders with as few counterparts as possible in Large-in-scale (LIS) venues. This article introduces the concept of concentrated trading, a situation that occurs when a large fraction of buying or selling in a given time period is done by one or a few traders, for example when executing a large order. Using London Stock Exchange data, we show that concentrated trading suffers price impact in addition to impact caused by (smart) order routing. However, when matched with similarly concentrated counterparts on the other side of the market, the impact is greatly reduced. This suggests that exposing an order on LIS venues is expected to result in execution performance improvement.
