Handbook of Price Impact Modeling
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causal graphscausal structuresdo-calculusendogeneityObizhaeva-Wang modelprice impactsemimartingalesstochastic differential equationsstochastic optimasation
Stochastic integrals (60H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Portfolio theory (91G10) Financial markets (91G15) Statistical methods; risk measures (91G70)
Recommendations
- Some mathematical aspects of market impact modeling
- Optimal execution with multiplicative price impact
- Price Impact Without Averaging
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- A pre-trade algorithmic trading model under given volume measures and generic price dynamics
Cited in
(10)- Estimating permanent price impact via machine learning
- Optimal liquidation with dynamic parameter updating: a forward approach
- Do price trajectory data increase the efficiency of market impact estimation?
- Nash equilibria for relative investors with (non)linear price impact
- Decentralised finance and automated market making: execution and speculation
- Optimal adaptive control with separable drift uncertainty
- The ‘double’ square-root law: evidence for the mechanical origin of market impact using Tokyo stock exchange data
- Unwinding stochastic order flow: when to warehouse trades
- Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility
- The subtle interplay between square-root impact, order imbalance & volatility: a unifying framework
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