Description
Book SynopsisHandbook of Price Impact Modeling provides practitioners and students with a mathematical framework grounded in academic references to apply price impact models to quantitative trading and portfolio management. Automated trading is now the dominant form of trading across all frequencies. Furthermore, trading algorithm rise introduces new questions professionals must answer, for instance:
- How do stock prices react to a trading strategy?
- How to scale a portfolio considering its trading costs and liquidity risk?
- How to measure and improve trading algorithms while avoiding biases?
Price impact models answer these novel questions at the forefront of quantitative finance. Hence, practitioners and students can use this Handbook as a comprehensive, modern view of systematic trading.
For financial institutions, the Handbookâs framework aims to minimize the firmâs price impact, measure market liquidit
Trade Review
"Kevin Webster has written a remarkable textbook that studies these problems in a uniquely comprehensive manner. To wit, he covers theory, empirics, and implementation by bringing together insights developed in a number of different research communities, ranging from Industry Practitioners, Financial Economists, Econophysicists, to Applied Mathematicians. In doing so, Kevin develops the underlying theory in a very accessible manner. He also presents important practical applications beyond optimal trading (such as risk management), which showcase that a good grasp of the mechanics of price impact is an essential part of any modern financial engineer's toolkit."
- Johannes Muhle-Karbe, Imperial College London.
Full article: Handbook of Price Impact Modeling (tandfonline.com)
Table of Contents1. Introduction to Modeling Price Impact. 2. Mathematical Models of Price Impact. 3. Applications of Price Impact Models. 4. Further Applications of Price Impact Models. 5. An Introduction to the Mathematics of Causal Inference. 6. Dealing with Biases when Fitting Price Impact Models. 7. Empirical Analysis of Price Impact Models.
