  Based on the order flow data of a stock and its warrant, the immediate price
impacts of market orders are estimated by two competitive models, the power-law
model (PL model) and the logarithmic model (LG model). We find that the PL
model is overwhelmingly superior to the LG model, regarding the robustness of
the estimated parameters and the accuracy of out-of-sample forecasting. We also
find that the price impacts of ask and bid orders are consistent with each
other for filled trades, since significant positive correlations are observed
between the model parameters of both types of orders. Our findings may provide
valuable insights for optimal trade execution.
