Machine Learning & Quant Finance

Machine Learning & Quant Finance

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Machine Learning & Quant Finance
Machine Learning & Quant Finance
Quant Letter: November 2023, Week 3
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Quant Letter: November 2023, Week 3

Weekly (23rd Edition)

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Dr. Derek Snow
Nov 15, 2023
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Machine Learning & Quant Finance
Machine Learning & Quant Finance
Quant Letter: November 2023, Week 3
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Paper of Last Week

Trading with Concave Price Impact and Impact Decay - Theory and Evidence

Trading costs play a central role in designing and implementing quantitative trading strategies. For sizable funds, the crucial concern is their trades' adverse price impact.

  • It is well known that impact is concave in trade sizes, in that large trades have a smaller…

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