Handbook of Price Impact Modeling

The 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.

List of contents

1. Introduction to Modeling Price Impact. 2. Mathematical Models of Price Impact. 3. Applications of Price Impact Models. 4. Further Applications of Price Impact Models. 5. An Introduction to the Mathematics of Causal Inference. 6. Dealing with Biases when Fitting Price Impact Models. 7. Empirical Analysis of Price Impact Models.

About the author

Dr. Kevin Webster graduated with a PhD from Princeton University Operations Research and Financial Engineering Department (ORFE). At ORFE, he studied mathematical models applied to high-frequency trading, emphasizing price impact, and market-making models. He previously worked at Deutsche Bank and Citadel and is currently a Visiting Assistant Professor (Visiting Reader) in the Department of Mathematics at Imperial College London.
Dr. Webster created and taught the course, ORF 474 High-Frequency Markets: Models and Data Analysis, as a Visiting Lecturer at Princeton in 2015. His publications include, The Self-Financing Equation in High Frequency Markets, Information and Inventories in High Frequency Trading, A Portfolio Manager's Guidebook to Trade Execution, and High Frequency Market Making.

Summary

The 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.

Product details

• Authors: Kevin T Webster
• Publisher: Taylor & Francis Ltd.
• Languages: English
• Product format: Hardback
• Released: 05.05.2023
• EAN: 9781032328225
• ISBN: 978-1-0-3232822-5
• No. of pages: 416
• Series: Chapman and Hall/CRC Financial Mathematics Series
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Business & Economics / Investments & Securities / General, MATHEMATICS / Probability & Statistics / General, MATHEMATICS / Applied, COMPUTERS / Machine Theory, Probability & statistics, Mathematical theory of computation, Mathematical modelling, Investment & securities, Investment and securities, Probability and statistics