Do price trajectory data increase the efficiency of market impact estimation?

DOI10.1080/14697688.2024.2351457zbMATH Open1542.9138MaRDI QIDQ6587733FDOQ6587733

Authors: Fengpei Li, Yu Chen, Jiahe Lin, Henry Lam 

Publication date: 14 August 2024

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

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Mathematics Subject Classification ID

Financial markets (91G15)

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