Do price trajectory data increase the efficiency of market impact estimation?
Fengpei Li, Vitalii Ihnatiuk, Yu Chen, Jiahe Lin, Ryan J. Kinnear, Anderson Schneider, Yuriy Nevmyvaka and Henry Lam
| Year of publication: |
2024
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|---|---|
| Authors: | Li, Fengpei ; Ihnatiuk, Vitalii ; Chen, Yu ; Lin, Jiahe ; Kinnear, Ryan J. ; Schneider, Anderson ; Nevmyvaka, Yuriy ; Lam, Henry |
| Subject: | Market impact model | Market microstructure | Parameter estimation | Marktmikrostruktur | Börsenkurs | Share price | Effizienzmarkthypothese | Efficient market hypothesis | Schätzung | Estimation | Schätztheorie | Estimation theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2351457 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014552104