Practice Trading
Fit a square-root price impact model
Medium+25 pointsAbout 45 minutesTrading
Coming soon
Estimate how price impact grows with order size from a set of executions, and test the square-root law.
This problem opens with Market Microstructure and Algorithmic Trading. It draws on the modules below.
- Microstructure 1.4 Price impact and liquidity (coming soon)