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A lot of the literature relies on estimating impacts of large orders (n), typically from major funds, that are split into child orders and executed over some period. Usually this data is proprietary and difficult to replicate. The metaorders used in this paper https://arxiv.org/pdf/1412.2152.pdf are one example (see footnote 3). This paper explains their ...


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The mentioned methods (except for Rosenthal) are implemented in python here: https://github.com/jktis/Trade-Classification-Algorithms


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If you want to model bid-ask spreads, I suggest you first read up on estimating bid-ask spreads. I have an overview here, but the gist of it is that the bid-ask spread affects estimates of the volatility. Microstructure models such as Kyle (1985) and Glosten and Milgrom (1985) show that the volatility affects the bid-ask spread. Note that none of these ...


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Rules of Thumb Are there any good rules of thumb for modeling spreads over the short-term? Sure. Consider the time of day, size on the bid vs the ask, minimum price increment, and volatility. Will you get much more than that here or anywhere? Doubtful. Moving beyond those basics is firmly in the land of secret sauce and anything public is unlikely to be ...


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Locked or crossed markets are generally not allowed except in extenuating circumstances where synchrony may be difficult, e.g. right after open or in the final minutes leading into the close. What happens in a locked or crossed market depends on the venue and where a stock is listed. For Nasdaq-listed stocks, the Nasdaq exchange as well as many ECNs and ...


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