The handbook of price impact modeling. (2023)

• Record Type: Book
• Further Information: Note: Dr. Kevin Thomas Webster.
• Authors: Webster, Kevin Thomas
• Contents: Preface I Introduction Introduction to Modeling Price Impact The Handbook’s Scope Introduction What is Price Impact? Why do Traders Care About It? The Causality Challenge for Price Impact Models Four Core Modeling Principles A Brief History of Price Impact Models Trading Terminology Trading Strategies Trading Data: Fills, Orders, and Binned Data Trading Signals, Alpha Signals Intended, Predicted, and Realized Data Basic Trading Parameters Order Slippage, Arrival Price Alpha Slippage, Slippage Due to Price Impact Trading Experiments: A-B Tests and Back Tests Outlining Applications Transaction Cost Analysis (TCA) for Sell-Side Execu- tion Teams Portfolio Optimization for Buy-Side Statistical Arbi- trage Teams Liquidity Reports for Risk Management Teams Portfolio Consolidation Analysis for Senior Manage- ment Roadmap What to Expect from the Handbook A Brief Summary of Each Chapter II Acting on Price Impact 2 Mathematical Models of Price Impact 2.1 A Pedagogical Example 2.2 Mathematical Setup 2.2.1 Defining Price Impact and Instantaneous Transaction Costs 2.2.2 Establishing P & L in Discrete Time 2.2.3 Examples of Microstructure Assumptions 2.2.4 Reduced Form Models 2.3 The Obizhaeva and Wang (OW) Propagator Model 2.3.1 An Optimal Execution Problem 2.3.2 Closed- Form Optimal Trading Strategy 2.3.3 Intuition Behind the Optimal Trading Strategy 2.4 Extensions Related to the Objective Function 2.4.1 Alpha Signal 2.4.2 Two- Sided Trading 2.4.2.1 Bid- ask Spread as Regularization Term 2.5 Extensions Related to Time 2.5.1 Time Change 2.5.2 Stochastic Push 2.5.2.1 Sensitivity Analysis in Impact Space 2.5.3 Linear Propagator Models 2.6 Extensions Related to External Impact 2.6.1 Microstructure Assumptions 2.6.2 Optimal Trading Strategy with External Impact 2.6.3 Local Concavity 2.6.4 Global Concavity 2.7 Price Manipulation Paradoxes 2.7.1 Constraints on Price Impact Models 2.7.2 Extension to Locally Concave Models 2.7.3 Constraints on Volume Predictions 2.8 Summary of Results 2.8.1 Generalized OW Impact Model 2.8.2 Generalized OW Impact Model with External Impact 2.8.3 Control Problems 2.8.4 Price Manipulation Bounds 2.9 Exercises 3 Applications of Price Impact Models 3.1 A Pedagogical Example 3.2 Optimal Execution 3.2.1 Pre-Trade Cost Model 3.2.1.1 Idealized Optimal Execution Problem 3.2.1.2 Communication with the Portfolio Team 3.2.1.3 Implied Alpha 3.2.1.4 The Square- Root Law Including Alpha Signals in the Execution Strategy Alpha Latency Reactive Execution Schedule Allowing for Tactical Deviations at the Microstructure Level Quantifying Deviations’ Impact Block Trades and Auctions Changing the Execution Strategy when New Orders Arrive A Simulation Example Summary Transaction Cost Analysis (TCA) TCA Best Practices Control for Basic Trading Parameters TCA Predictions An Experiment to Size Orders Correctly Clean-Up Costs for Partial Executions An Experiment for Consecutive Orders A Simulation to Improve High-Touch Trading Summary of Results Optimal Execution Without Intraday Alpha Pre-Trade Cost Model Implied Alpha The Case of Sizable Orders Implied Alpha’s TCA Implication Clean-up Costs Intraday and Low-Latency Alphas Intraday Alpha The Cost of Tactical Algorithms Optimal Execution for Multiple Orders Combining Order Executions TCA for Consecutive Orders Exercises Further Applications of Price Impact Models A Pedagogical Example Statistical Arbitrage Using External Impact as an Alpha Signal Cont, Cucuringu, and Zhang’s Alpha Signal Model Architecture Extensions Adjusting Regression Techniques for Liquidity Using Price Impact for Simulation Waelbroeck’s Simulation Environment Business Applications of a Market Simulator Portfolio and Risk Management How Price Impact Distorts Accounting P&L and Perceived Risk Expected Closing P&L P&L Bias Examples P&L Bias in Steady State General Implications and Actions Portfolio Management Implications Liquidity Risk Implications Senior Management Implications Simulating Fire Sales Liquidation Without Fire Sale Liquidation With Fire Sale Combining Two Portfolios’ Trading Theory in the Case Without Mutual Information Theory in the Case With Mutual Information Empirical Simulation Approach Summary of Results Alpha Research Market Simulator&l
• Edition: 1st
• Publisher Details: Boca Raton : Chapman & Hall/CRC
• Publication Date: 2023
• Extent: 1 online resource (434 pages), illustrations (black and white)
• Subjects: 332.63222; Stocks -- Prices -- Mathematical models; Investments -- Mathematical models
• Languages: English
• ISBNs: 9781000877663; 9781000877656
• Related ISBNs: 9781032328225
• Notes: Note: Includes bibliographical references and index.; Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.