Statistical characteristics of price impact in high-frequency trading

DOI10.1515/snde-2018-0067OpenAlexW3033164846MaRDI QIDQ2699613

Handong Li, Can Jia, Tianmin Zhou

Publication date: 19 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0067

zbMATH Keywords

trade volumeprice changepermanent price impacttemporary price impactHFV model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Mechanical vs. informational components of price impact
• Optimal liquidation strategies and their implications
• Why is equity order flow so persistent?
• Estimating permanent price impact via machine learning
• Do supply and demand drive stock prices?
• Continuous Auctions and Insider Trading
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Price Manipulation and Quasi-Arbitrage

This page was built for publication: Statistical characteristics of price impact in high-frequency trading