The Market Impact Model, Part 3

Jun 1, 1998

This is the third part of our continuing series on the Market Impact Model.(1) In the first two parts we defined the problem that the model addresses and applied economic reasoning to establish the framework of the solution. Now we shall turn to empirical data analysis to provide the details of the solution. To organize the discussion, we begin by stating the conclusion. We then begin building to this conclusion. First we treat data upon which our work rests. Next we treat each model factor in turn, surveying the principal findings of data analysis. Finally, we show how the information is assembled into the final forecast of market impact.