Why is the estimation of metaorder impact with public market data so challenging?
研究发现，基于公开市场数据的模型无法准确描述大单交易的价格影响，因为统计模型无法正确解释订单流的自相关性。作者提出修正的瞬时影响模型，假设只有部分大单交易触发市场订单流，从而得到更真实的轨迹。
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are qualitatively different from what is observed during real metaorder executions: the price increases linearly, rather than in a concave way, during the execution and the amount of reversion after its end is very limited. We claim that this is a generic phenomenon due to the fact that even sophisticated statistical models are unable to correctly describe the origin of the autocorrelation of the order flow. We propose a modified Transient Impact Model which provides more realistic trajectories by assuming that only a fraction of the metaorder trading triggers market order flow. Interestingly, in our model there is a critical condition on the kernels of the price and order flow equations in which market impact becomes permanent.