Timeline for Computing market impact from the order book?
Current License: CC BY-SA 4.0
8 events
| when toggle format | what | by | license | comment | |
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| Jul 23, 2022 at 7:23 | comment | added | nbbo2 | Yes, the reactions of other traders when they see your order execute and adjust their orders accordingly are definitely a part of the "market impact". You underestimate the market impact if you assume that no one reacts. The panic reaction when there is a "fat finger error" and liquidity disappears is an extreme case of this. | |
| Jul 23, 2022 at 1:01 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jun 23, 2022 at 0:55 | answer | added | Beppe | timeline score: 1 | |
| Jun 22, 2022 at 23:24 | comment | added | rubikscube09 | No that's correct - it's just that by the time you place your order the order book will have changed, and sometimes significantly. Moreover, after you fill the order book will change as well | |
| Jun 21, 2022 at 15:41 | comment | added | Quantified | I guess if there are hidden orders then we would be able to compute an upper bound on the market impact. Let's just assume that everything is visible. | |
| Jun 21, 2022 at 6:39 | comment | added | hroptatyr | Estimate in what direction? Worst case? Best case? I'm asking because many exchanges allow for hidden quantities, i.e. you can make the market look more sparse than it actually is. | |
| S Jun 21, 2022 at 5:51 | review | First questions | |||
| Jun 21, 2022 at 9:47 | |||||
| S Jun 21, 2022 at 5:51 | history | asked | Quantified | CC BY-SA 4.0 |