Questions tagged [market-impact]
Market impact (aka price impact) is the bias induced on prices due to market activity like trading. Predictions of the price paid for an order which is large and will affect prices are estimates of market impact.
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Market impact in optimization objective function
Can anyone help to explain why when the square root market impact model is used in the standard mean-variance optimization, the exponent becomes $\frac{5}{3}$ in the objective function? I suspect this ...
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Impact / slippage model for open and closing crossing auctions?
The general impact model for trading a VWAP order throughout the day has the form of:
$\alpha \cdot \sigma_n \cdot \text{(participation rate)}^\beta$
I'm looking for an impact / slippage model of ...
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What is the market impact of OTC trading ETFs?
I read an interesting statement here:
"If an ETF’s market price tracks its NAV well, it is likely to have a
small market impact. On the other hand, if the market price is more
volatile than the ...
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Reference for Aggregated Temporary Price Impact
I am wondering if someone knows relevant literature on the joint temporary price impact. The temporary price impact here refers to the difference between the best ask/bid price and transaction price ...
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Market impact power law fitting confusion
In many market impact papers such as "Anomalous price impact and the critical nature of liquidity in financial markets" by Tóth et al (2018), there is a standard power-law relation in the ...
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What are commercial impact models and transaction cost analysis models out there for simulation?
I have heard that ITG, LiquidMetrix, MarkIT and TradingScreen has good Transaction Cost Analysis (TCA) research. I wonder which firm one would choose to have an impact model formula inside his ...
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