Why is the estimation of metaorder impact with public market data so challenging?
为何用公开市场数据估计大额交易的价格冲击如此困难?
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are qualitatively different from what is observed during real metaorder executions: the price increases linearly, rather than in a concave way, during the execution and the amount of reversion after its end is very limited. We claim that this is a generic…