Price Impact Without Averaging

DOI10.1080/1350486X.2024.2303078MaRDI QIDQ6490770zbMATH OpenWikidataFDO

Authors Claudio Bellani, Damiano Brigo, Mikko S. Pakkanen, Leandro Sánchez-Betancourt

Publication date 23 April 2024

Published in Applied Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/1350486X.2024.2303078

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial markets (91G15)

Recommendations

• Price impact of large orders using Hawkes processes
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Cites work

• A simple proof of the multivariate random time change theorem for point processes
• An Introduction to the Theory of Point Processes
• Enhancing trading strategies with order book signals
• Hawkes model for price and trades high-frequency dynamics
• No‐arbitrage implies power‐law market impact and rough volatility
• State-dependent Hawkes processes and their application to limit order book modelling

Cited in

(4)

• Handbook of Price Impact Modeling
• Do price trajectory data increase the efficiency of market impact estimation?
• Non-uniformly sampled simulated price impact of an order-book
• Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters

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