Handbook of Price Impact Modeling

DOI10.1201/9781003316923OpenAlexW4362490349MaRDI QIDQ6105970

Kevin Webster

Publication date: 26 June 2023

Full work available at URL: https://doi.org/10.1201/9781003316923

zbMATH Keywords

endogeneitysemimartingalesstochastic differential equationscausal structuresprice impactcausal graphsdo-calculusObizhaeva-Wang modelstochastic optimasation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic integrals (60H05) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Financial markets (91G15)

Related Items (4)

Estimating permanent price impact via machine learning ⋮ Optimal liquidation with dynamic parameter updating: a forward approach ⋮ Do price trajectory data increase the efficiency of market impact estimation? ⋮ Nash equilibria for relative investors with (non)linear price impact

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