{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/nonlinear-price-impact-from-linear-models","title":"Nonlinear price impact from linear models","arxiv_id":"1708.02411","date":"2017-08-08","proceeding":null,"authors":["Felix Patzelt","Jean-Philippe Bouchaud"],"abstract":"The impact of trades on asset prices is a crucial aspect of market dynamics\nfor academics, regulators and practitioners alike. Recently, universal and\nhighly nonlinear master curves were observed for price impacts aggregated on\nall intra-day scales [1]. Here we investigate how well these curves, their\nscaling, and the underlying return dynamics are captured by linear \"propagator\"\nmodels. We find that the classification of trades as price-changing versus\nnon-price-changing can explain the price impact nonlinearities and short-term\nreturn dynamics to a very high degree. The explanatory power provided by the\nchange indicator in addition to the order sign history increases with\nincreasing tick size. To obtain these results, several long-standing technical\nissues for model calibration and -testing are addressed. We present new\nspectral estimators for two- and three-point cross-correlations, removing the\nneed for previously used approximations. We also show when calibration is\nunbiased and how to accurately reveal previously overlooked biases. Therefore,\nour results contribute significantly to understanding both recent empirical\nresults and the properties of a popular class of impact models.","url_abs":"http://arxiv.org/abs/1708.02411v1","url_pdf":"http://arxiv.org/pdf/1708.02411v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"nonlinear-price-impact-from-linear-models","repo_url":"https://github.com/felixpatzelt/scorr","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}