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Estimating Permanent Price Impact via Machine Learning · Study

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ArticleEstimating Permanent Price Impact via Machine Learning

Richard Philip2019

OA

Articlegreen2019

Estimating Permanent Price Impact via Machine Learning

22 citations·0/0 files stored·Journal of Econometrics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1985Continuous Auctions and Insider Trading 1991Measuring the Information Content of Stock Trades 2014High-Frequency Trading and Price Discovery 1998Optimal control of execution costs 1994Transactions, Volume, and Volatility 2005Robust Control of Markov Decision Processes with Uncertain Transition Matrices 1998Price Dynamics in Limit Order Markets 2000Time and the Price Impact of a Trade

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2024Technology and automation in financial trading: A bibliometric review

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2017Order Exposure in High Frequency Marketspreprint · 9 shared references 2023Market Liquiditybook · 8 shared references 2013The Price Impact of Order Book Eventsarticle · 7 shared references 2019Price Discovery without Trading: Evidence from Limit Ordersarticle · 7 shared references 2021What Moves Stock Prices? The Roles of News, Noise, and Informationarticle · 7 shared references 2010The Price Impact of Order Book Eventspreprint · 7 shared references

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Year2019

Typearticle

Published2019-01-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations22

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jeconom.2019.10.002

openalex_workW2989449928

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