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20192022
most citedReal-time Bidding for Time Constrained Impression Contracts in First and Second Price Auctions -- Theory and Algorithms

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q-fin.TR2022

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

Fengpei Li, Vitalii Ihnatiuk, Ryan Kinnear +2

Market impact is an important problem faced by large institutional investor and active market participant. In this paper, we rigorously investigate whether price trajectory data fr…