O'Reilly logo

The Science of Algorithmic Trading and Portfolio Management by Robert Kissell

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Chapter 5

Estimating I-Star Model Parameters

In this chapter we compare and contrast various approaches behind the different market impact models and we present a framework to estimate the model parameters and test model performance. We provide readers with our preferred optimization technique and statistical results including model parameters for various scenarios and corresponding non-linear R2 statistical measures of fit. The chapter concludes with a discussion of market impact cost for large and small cap stocks, for buy and sell orders, and by market cap category and order side. For each of these cases we provide the statistical performance results from our non-linear regression analysis.

Keywords

I-Star model; market impact; non-linear regression; ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required