IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v24y2024i5p545-568.html
   My bibliography  Save this article

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

Author

Listed:
  • Fengpei Li
  • Vitalii Ihnatiuk
  • Yu Chen
  • Jiahe Lin
  • Ryan J. Kinnear
  • Anderson Schneider
  • Yuriy Nevmyvaka
  • Henry Lam

Abstract

Market impact is an important problem faced by large institutional investors and active market participants. In this paper, we rigorously investigate whether price trajectory data from the metaorder increases the efficiency of estimation, from the view of the Fisher information, which is directly related to the asymptotic efficiency of statistical estimation. We show that, for popular market impact models, estimation methods based on partial price trajectory data, especially those containing early trade prices, can outperform established estimation methods (e.g. VWAP-based) asymptotically. We discuss theoretical and empirical implications of such phenomenon, and how they could be readily incorporated into practice.

Suggested Citation

  • Fengpei Li & Vitalii Ihnatiuk & Yu Chen & Jiahe Lin & Ryan J. Kinnear & Anderson Schneider & Yuriy Nevmyvaka & Henry Lam, 2024. "Do price trajectory data increase the efficiency of market impact estimation?," Quantitative Finance, Taylor & Francis Journals, vol. 24(5), pages 545-568, May.
    • Handle: RePEc:taf:quantf:v:24:y:2024:i:5:p:545-568
    DOI: 10.1080/14697688.2024.2351457
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2024.2351457
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2024.2351457?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:24:y:2024:i:5:p:545-568. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.