Estimating permanent price impact via machine learning

DOI10.1016/J.JECONOM.2019.10.002MaRDI QIDQ2182135zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 21 May 2020

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2019.10.002

zbMATH Keywords

machine learningprice impactreinforcement learninginformation content of a trade

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
• Continuous Auctions and Insider Trading
• Efficient estimation using the characteristic function
• Higher moment estimators for linear regression models with errors in the variables
• On blocking rules for the bootstrap with dependent data
• Price Manipulation and Quasi-Arbitrage
• Robust Control of Markov Decision Processes with Uncertain Transition Matrices
• \({\mathcal Q}\)-learning

Cited in

(3)

• Optimal liquidation problem in illiquid markets
• Machine learning architectures for price formation models
• Statistical characteristics of price impact in high-frequency trading

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