Trading with Concave Price Impact and Impact Decay—Theory and Evidence
研究如何将价格预测转化为盈利交易策略，通过解决统计套利问题，考虑价格影响的非线性和衰减，并用专有元订单数据验证模型。
Statistical Arbitrage with Price Impact A key challenge to turn price forecasts into profitable trading strategies is to mitigate the adverse impact of large trades. This paper shows that such statistical arbitrage problems can be solved in closed form for general nonparametric price forecasts and for price impact models that account for the nonlinearity in order sizes and gradual decay of impact observed empirically. The implications of these results are illustrated by an empirical case study, in which the price impact models are calibrated to proprietary metaorder data.