Wpływ strategii tradingowych na rynek: Analiza z wykorzystaniem symulacji książki zleceń
[Market impact of trading strategies: An analysis using order book simulation]

Hai Tran (Department of Statistics and Applied Probability,
National University of Singapore, Singapore)


In this study, we develop a new statistical procedure to identify and estimate market 
impact of common trading strategies by simulating the order book. Specifically, using a 
hybrid model of the order book that builds on the class of Hawkes processes, we can 
simulate the stylized facts of both the microstructure and the macro price formation 
process. Then in the simulation, we can superimpose the trade times by an arbitrary trading 
strategy and measure its market impact, particularly its impact on stocks with different 
liquidity profiles.