Estimating permanent price impact via machine learning

DOI10.1016/j.jeconom.2019.10.002zbMath1456.62304OpenAlexW2989449928MaRDI QIDQ2182135

Yanyan Li

Publication date: 21 May 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.10.002

zbMATH Keywords

reinforcement learningmachine learningprice impactinformation content of a trade

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (2)

Statistical characteristics of price impact in high-frequency trading ⋮ Optimal liquidation problem in illiquid markets

Cites Work

• EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION
• Higher moment estimators for linear regression models with errors in the variables
• \({\mathcal Q}\)-learning
• A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
• Continuous Auctions and Insider Trading
• On blocking rules for the bootstrap with dependent data
• Robust Control of Markov Decision Processes with Uncertain Transition Matrices
• Price Manipulation and Quasi-Arbitrage

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