  Market impact has become a subject of increasing concern among academics and
industry experts. We put forward a price impact model which considers the
heteroscedasticity of price in the time dimension and dependency between
permanent impact and temporary impact. We discuss and derive the extremum of
the expectation of permanent impact and realized impact by constructing several
special trading trajectories. Given our use of a large trade and quote tick
records of 17,213,238,343 compiled from the Chinese stock market, the model
assessment ultimately suggest that our model is better than Almgren's model.
Interestingly, the result of random effect analysis indicates the parameter
$\alpha$, which is the exponent of the impact function, is a constant with a
value of around 0.7 across all stocks. Our model and empirical result would
give academia some insight of mechanism of Chinese market, and can be applied
to algorithm trading.
