English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Tools annual

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Presents the access of premium content as premium feature

Premium Content

Global: Zendy Plus annual

Global: Zendy Free Plan

Market impact is an important problem faced by large institutional investorand active market participant. In this paper, we rigorously investigate whetherprice trajectory data from the metaorder increases the efficiency ofestimation, from an asymptotic view of statistical estimation. We show that,for popular market impact models, estimation methods based on partial pricetrajectory data, especially those containing early trade prices, can outperformestablished estimation methods (e.g., VWAP-based) asymptotically. We discusstheoretical and empirical implications of such phenomenon, and how they couldbe readily incorporated into practice.

Do price trajectory data increase the efficiency of market impact estimation?