no code implementations • 2 Oct 2021 • Claudio Bellani, Damiano Brigo, Mikko Pakkanen, Leandro Sanchez-Betancourt
We present a measurement of price impact in order-driven markets that does not require averages across executions or scenarios.
no code implementations • 23 Sep 2019 • Claudio Bellani, Damiano Brigo
We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact.