Do price trajectory data increase the efficiency of market impact estimation?-Reference-Cited by-同舟云学术

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

Published:2024-05-03 Issue:5 Volume:24 Page:545-568
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Li Fengpei¹^ORCID,Ihnatiuk Vitalii²³,Chen Yu¹,Lin Jiahe¹,Kinnear Ryan J.⁴,Schneider Anderson¹,Nevmyvaka Yuriy¹,Lam Henry⁵

Affiliation:

1. Machine Learning Research, Morgan Stanley, New York, NY, USA

2. Quantitative Research, Morgan Stanley, New York, NY, USA

3. Department of Economics, Taras Shevchenko National University of Kyiv, Kyiv, Ukraine

4. Electrical and Computer Engineering, University of Waterloo, Waterloo, Canada

5. Department of IEOR, Columbia University, New York, NY, USA

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2351457

Reference84 articles.

1. Intraday market making with overnight inventory costs

2. Closed-form likelihood expansions for multivariate diffusions

3. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

4. Estimators of diffusions with randomly spaced discrete observations: A general theory

5. Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations

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