arXiv Open Access 2022

Measuring price impact and information content of trades in a time-varying setting

F. Campigli G. Bormetti F. Lillo

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Abstrak

We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large fluctuations. Some of them are exogenous, and, as an example, we investigate market impact dynamics around FOMC announcements. Contrary to Hasbrouck (1991), we find that the information content of trades depends on the local liquidity level and the recent history of prices and trades. Finally, we use the model to estimate the time-varying permanent impact parameter, which allows performing a dynamic transaction cost analysis.

Topik & Kata Kunci

q-fin.TR

Penulis (3)

F. Campigli

G. Bormetti

F. Lillo

Format Sitasi

APA MLA BibTeX

Campigli, F., Bormetti, G., Lillo, F. (2022). Measuring price impact and information content of trades in a time-varying setting. https://arxiv.org/abs/2212.12687

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Informasi Jurnal

Tahun Terbit: 2022
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓