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About Lecture3 Market Impact Microstructure
1. The document discusses market impact models and microstructure in the context of algorithmic trading. It outlines how algo trading systems are typically decomposed into trade scheduling, optimal execution, and order routing components operating at different timescales. 2. It provides an example of a market impact model proposed by Rama Cont and Stoikov (2014) that models price change due to order imbalance using a regression model. It also summarizes a model by C. Maglaras (n.d.) that models implementation shortfall using regression. 3. In-sample regressions on proprietary trade data show the C. Maglaras (n.d.) "micro" model has better out-of-sample
Detailed Information
| Author: | ['Al Strings'] |
|---|---|
| Publication Year: | 2018 |
| Pages: | 18 |
| Language: | English |
| Format: | |
| Price: | FREE |
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