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.

翻译：估算大宗交易（即大宗订单）的市场冲击与交易成本是金融领域极为重要的课题。然而，基于公开市场数据构建的价格与交易模型所给出的平均价格轨迹，与实际大宗订单执行期间观察到的现象在性质上存在显著差异：模型显示价格在执行期间呈线性增长（而非实际观测到的凹形增长），且订单执行结束后的价格回归幅度极为有限。我们认为，这一普遍现象源于即使采用复杂的统计模型，仍无法准确描述订单流自相关性的来源。为此，我们提出一种改进的瞬态冲击模型，该模型通过假设仅部分大宗订单交易会触发市场订单流，从而生成更贴近现实的价格轨迹。值得注意的是，在我们的模型中，当价格方程与订单流方程的核函数满足特定临界条件时，市场冲击将转变为永久性冲击。