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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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I am trying to model the price impact in stress for a period of several days. Specifically, I am looking for a function/model that predicts the price movement Given a set of ex-ante factors (e.g: liq …
asked Jan 29 '21 by sets