Quantifying Long-Term Market Impact
提出预期未来流量短缺（EFFS）方法，量化大额订单对市场价格的长期冲击，用于评估交易策略和订单规模设定，方法简单且效果与复杂模型相当。
Impact costs occur when large buy or sell orders move market prices. The measurement of these costs is crucial for the evaluation of potential trading strategies and the successful execution of systematic investment strategies. However, common approaches suffer from a type of myopia: impact is only measured for the current transaction. In many cases, orders are correlated, and the impact of the first order will affect the execution of future orders. The authors propose a new measure that quantifies the long-term effects of market impact: expected future flow shortfall (EFFS). Their method is both intuitive and straightforward to implement. Importantly, the EFFS method performs competitively with far more complex and data-hungry approaches. The method should be useful for both the evaluation of execution methods and the sizing of orders.