Direct Estimation of Equity Market Impact

Robert Almgren, Chee Thum, Emmanuel Hauptmann, Hong Li · 2005 · Risk (published as "Equity market impact")

IntermediateIntradayLFTEmpiricalFree to read

Calibrates permanent and temporary impact on a large broker's US equity orders. Temporary impact grows roughly with participation rate to the power 0.6.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: Intraday, LFT
Data needed: Trades Set what data you have
Themes: Price impact Execution
Assets: Equities
Market: US

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Cite

@article{almgren2005direct,
  author = {Almgren, Robert and Thum, Chee and Hauptmann, Emmanuel and Li, Hong},
  title = {{Direct Estimation of Equity Market Impact}},
  journal = {Risk (published as "Equity market impact")},
  year = {2005},
  url = {https://www.risk.net/derivatives/structured-products/1500270/equity-market-impact}
}

Almgren, R., Thum, C., Hauptmann, E., & Li, H. (2005). Direct Estimation of Equity Market Impact. Risk (published as "Equity market impact"). https://www.risk.net/derivatives/structured-products/1500270/equity-market-impact