Transaction cost analytics for corporate bonds

DOI10.1080/14697688.2022.2054723zbMath1497.91336arXiv1903.09140OpenAlexW2948850773MaRDI QIDQ5092645

Xin Guo, Renyuan Xu, Charles-Albert Lehalle

Publication date: 22 July 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.09140

zbMATH Keywords

regression analysisregularization methodprice impactdata-driven decision makingbond liquidityenhanced TRACEtransaction costs analysis

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Least squares after model selection in high-dimensional sparse models
• Optimal two-step prediction in regression
• Small transaction cost asymptotics and dynamic hedging
• No-dynamic-arbitrage and market impact
• The price impact of order book events: market orders, limit orders and cancellations
• Linear models for the impact of order flow on prices. I. History dependent impact models
• Cross-impact and no-dynamic-arbitrage
• Regularization and Variable Selection Via the Elastic Net
• Price Manipulation and Quasi-Arbitrage

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