Do price trajectory data increase the efficiency of market impact estimation?

DOI10.1080/14697688.2024.2351457zbMATH Open1542.9138MaRDI QIDQ6587733

Jiahe Lin, Author name not available (Why is that?), Yu Chen, Henry Lam, Author name not available (Why is that?), Author name not available (Why is that?), Fengpei Li, Author name not available (Why is that?)

Publication date: 14 August 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

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