价格轨迹数据能否提高市场影响评估的效率？

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-05-29 DOI:10.1080/14697688.2024.2351457

Fengpei Li, Vitalii Ihnatiuk, Yu Chen, Jiahe Lin, Ryan J. Kinnear, Anderson Schneider, Yuriy Nevmyvaka, Henry Lam

引用次数: 0

摘要

市场影响是大型机构投资者和活跃市场参与者面临的一个重要问题。在本文中，我们严格研究了元数据中的价格轨迹数据是否会对市场产生影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

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

Market impact is an important problem faced by large institutional investors and active market participants. In this paper, we rigorously investigate whether price trajectory data from the metaorde...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.