The importance of price impact in HFT is outlined via well known phenomena of micro-price. We look at price impact as macro phenomena and for its explanation turn to micro phenomena, specifically to order book dynamics modeled via multi-dimensional Hawkes processes. We then show that on the level of first-moment simplification of the model this type of order book implies well known phenomena of price impact observed by Almgren and more precise one proposed by Gatheral.
Copyright. All Rights Reserved.