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q-fin.TR2026
Explainable Deep Learning for Price-Trade Dynamics: From Black-Box Forecasts to Effective Parametric Models
Manuel Naviglio, Fabrizio Lillo
Understanding the joint dynamics of prices and trades is central to market microstructure, where returns and order flow interact through nonlinear and state-dependent mechanisms. L…
q-fin.TR2025
Why is the estimation of metaorder impact with public market data so challenging?
Manuel Naviglio, Giacomo Bormetti, Francesco Campigli +2
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market da…
q-fin.TR2022
Measuring price impact and information content of trades in a time-varying setting
F. Campigli, G. Bormetti, F. Lillo
We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impac…