2021/10/02 by Bellani, Claudio, Brigo, Damiano, Pakkanen, Mikko +1
#FOS: Economics and business #Statistical Finance (q-fin.ST) #Trading and Market Microstructure (q-fin.TR)
paper · doi:10.48550/arxiv.2110.00771
We present a measurement of price impact in order-driven markets that does not require averages across executions or scenarios. Given the order book data associated with one single execution of a sell metaorder, we measure its contribution to price decrease during the trade. We do so by modelling the limit order book using state-dependent Hawkes processes, and by defining the price impact profile of the execution as a function of the compensator of a stochastic process in our model. We apply our measurement to a data set from NASDAQ, and we conclude that the clustering of sell child orders has a bigger impact on price than their sizes.