Direct Estimation of Equity Market Impact

By Robert Almgren, C. Thum, Emmanuel Hauptmann, Hong Li. 2005

411 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/00777edc168f26633de9f5b9ff4c4f74bd9790e3

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Citations in the corpus

The Price Impact of Order Book Events (2010, unknown): “al [3]).”
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis (2013, background): “Academics studying the price formation process in order books usually name “temporary market impact” the way prices temporally deviate from their stable value due to high consumption of liquidity (i.e. of pending orders) in an order book (see [Almgren et al., 2005], [Gatheral, 2010]).”
Relation between bid–ask spread, impact and volatility in order-driven markets (2006, background): “These programs search to optimize execution costs (Almgren et al. 2005, Hollifield et al. 2007) by adequately conditioning the order flow (proportion of limit and market orders, timing, aggressivity) and use any short-term predictability to do so.”
Incorporating order-flow into optimal execution (2016, unknown): “See also [20] for a discussion of the asymptotic behaviour of non-linear impact near the end of the trading horizon, as well as smoothness of the solutions.”
OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (2015, background): “The question of optimal execution with an arrival price benchmark is well studied in the literature going back to Bertsimas and Lo (1998), see also the seminal papers of Almgren and co-authors (Almgren and Chriss 2000; Almgren et al. 2005; Almgren 2012).”
Multiperiod portfolio optimization with multiple risky assets and general transaction costs (2016, unknown): “As discussed in Section 2, to simplify the exposition we focus on the case with temporary market impact costs, but the analysis can be extended to the case with permanent impact costs following an approach similar to that in Section 4 of G&P. Almgren et al. (2005) suggest that market impact costs gr”
PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (2012, unknown): “This is reflected, for example, in the difficulty of measuring market impact and evaluating the performance of trade execution algorithms (see, e.g., Almgren et al. 2005, Sofianos and Jeria 2008a, and Sofianos and Jeria 2008b).”
No-dynamic-arbitrage and market impact (2010, methodology): “Empirically (see Almgren et al. 2005, for example), market impact is concave in v for small v.”
Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate (2014, unknown): “Most earlier studies have concluded that the market impact of a metaorder is well described by a “square root law” of market impact [4, 5, 6, 3, 7, 8, 9].”
Mean field game of controls and an application to trade crowding (2016, background): “An answer to the uncertainty on the components of an appropriate model of market dynamics (and especially of the “market impact”, see empirical studies like [Bacry et al., 2015] or [Almgren et al., 2005] for details) could be to implement a robust control framework.”
Optimal order placement in limit order markets (2012, background): “t of a single share - is much smaller in magnitude than bid-ask spread h and explicit costs f;r k. For example, consider a trade to buy 5% of daily volume in a liquid stock. Recent empirical studies (Almgren et al. 2005, Mastromatteo et al. 2013) nd that the impact of such trade is in a range of 1-6”
Robust Strategies for Optimal Order Execution in the Almgren–Chriss Framework (2012, background): “Nonlinear price impact is often observed in data of financial transactions; see, e.g., Almgren et al. (2005).”
TRADING WITH SMALL PRICE IMPACT (2014, unknown): “, [4, 56]).”
Random walks, liquidity molasses and critical response in financial markets (2004, background): “Almgren et al. 2005), and a permanent component which is responsible for the progressive inclusion of information in prices. In a standard random walk driven by uncorrelated ‘kicks’, the response is indeed permanent—each new piece of information would affect the price forever. We claim on the contra”