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q-fin.TR2025
Nonparametric Estimation of Self- and Cross-Impact
Natascha Hey, Eyal Neuman, Sturmius Tuschmann
We introduce an offline nonparametric estimator for concave multi-asset propagator models based on a dataset of correlated price trajectories and metaorders. Compared to parametric…
q-fin.TR2023
The Cost of Misspecifying Price Impact
Natascha Hey, Jean-Philippe Bouchaud, Iacopo Mastromatteo +2
Portfolio managers' orders trade off return and trading cost predictions. Return predictions rely on alpha models, whereas price impact models quantify trading costs. This paper st…