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List:       r-sig-finance
Subject:    Re: [R-SIG-Finance] Measuring Price Impact of Trade
From:       Mark Leeds <markleeds2 () gmail ! com>
Date:       2011-10-27 4:04:12
Message-ID: CAHz+bWZQtK-mLR3d4BCURak5Z8zjhTNLw_rSatxdYL3+NyKsCA () mail ! gmail ! com
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hi: i don't know if anything is done in R but see all of the literature by
almgren and chriss if you haven't already. good luck.
                                                                       mark




On Wed, Oct 26, 2011 at 10:55 PM, Roupell, Darko
<Darko.Roupell@cba.com.au>wrote:

> Hi All,
>
> Measuring price impact of trade is very topical in institutional space, so
> I looked into that over the past few weeks to see if there was anything done
> in R.
>
> Apart of the attached code done by so-called "MaxDama" that tries to
> replicate the attached paper not much was there.
>
> In particular, the issue related how to extrapolate the power-law
> coefficient across different participation rates of daily average volume.
>
> RTAQ has a function called realized spread but the very assumption (that
> difference between transaction Price and Midpoint 5 mins later reflects
> price impact) is very dubious as it assumes no impact of trades in between.
> At least the testing of it gives inconclusive result.
>
> I wonder if anyone in R SIG Finance finds this topical and would be happy
> to share thoughts so we can come up with reasonable function to implement
> it.
>
> Thanks.
>
> __________________________________________________
> Darko Roupell
>
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