Fengpei Li, Vitalii Ihnatiuk, Yu Chen, Jiahe Lin, Ryan J. Kinnear, Anderson Schneider, Yuriy Nevmyvaka, Henry Lam
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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 metaorde...
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The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
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