Handbook of Price Impact Modeling

Handbook of Price Impact Modeling - Kevin Thoma Webster

Handbook 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 Handbook’s framework aims to minimize the firm’s price impact, measure market liquidity risk, and provide a unified, succinct view of the firm’s trading activity to the C-suite via analytics and tactical research.