The Handbook of Price Impact Modeling provides practitioners and students with a
mathematical framework grounded in academic references to apply price impact models to …

We investigate the impact of order flow imbalance (OFI) on price movements in equity
markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs …

Full article: How to build a cross-impact model from first principles: theoretical requirements
and empirical results Skip to Main Content Taylor and Francis Online homepage Taylor and …

Trading pressure from one asset can move the price of another, a phenomenon referred to
as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United …

Trading a financial asset pushes its price as well as the prices of other assets, a
phenomenon known as cross-impact. The empirical estimation of this effect on complex …

We study multi-asset propagator models that describe how the self and cross impact of
trades on prices decay over time. As for a single asset, the model fit can be improved …

We present a method to estimate price impact in order-driven markets that does not require
averaging over executions or scenarios. Given order book data associated with one single …

Data-driven Methods for Simulation and Forecasting of Financial Time Series Abstract Page 1
Data-driven Methods for Simulation and Forecasting of Financial Time Series Chao Zhang The …