Estimating permanent price impact via machine learning

DOI10.1016/J.JECONOM.2019.10.002zbMATH Open1456.62304OpenAlexW2989449928MaRDI QIDQ2182135FDOQ2182135

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

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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)

Cites Work

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

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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