28 citations · 95 across the 25 of their papers we have counts for
4 papers · 1 filter
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…
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
The analysis of the intraday dynamics of correlations among high-frequency returns is challenging due to the presence of asynchronous trading and market microstructure noise. Both…
Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud +2
Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improve…
Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud +2
Market impact is a key concept in the study of financial markets and several models have been proposed in the literature so far. The Transient Impact Model (TIM) posits that the pr…