Do price trajectory data increase the efficiency of market impact estimation?
从Fisher信息量角度，严格检验了来自元订单的价格轨迹数据能否提高市场冲击估计的效率，发现基于早期交易价格的轨迹数据方法在渐近意义上优于传统VWAP方法。
Market impact is an important problem faced by large institutional investors and active market participants. In this paper, we rigorously investigate whether price trajectory data from the metaorder increases the efficiency of estimation, from the view of the Fisher information, which is directly related to the asymptotic efficiency of statistical estimation. We show that, for popular market impact models, estimation methods based on partial price trajectory data, especially those containing early trade prices, can outperform established estimation methods (e.g. VWAP-based) asymptotically. We discuss theoretical and empirical implications of such phenomenon, and how they could be readily incorporated into practice.