Market-Impact-Model
Unverified Other strategy on Indices by shubhamcodez. BotFinder score 18 out of 100.
The model focuses on predicting the impact of trading activities on stock prices using order flow imbalance, trading volume and price change
Source: github
BotFinder analysis pending.
Market-Impact-Model
Market Impact Model Description This project aims to develop an impact model for algorithmic trading and quantitative strategies, inspired by Almgren et al.'s "Direct Estimation of Equity Market Impact." Reference: Direct Estimation of Equity Market Impact Objective The main objective is to build an impact model that can accurately estimate the market impact of trading activities using trading volume, price movements, and stock liquidity. Data - Utilizes the TAQ dataset, focusing on a subset of S&P 500 stocks for liquidity. - Uses average daily value traded instead of average daily volume traded to account for stock splits. - Data processing involves computing various metrics such as mid-quote returns, total daily value, arrival price, value imbalance, volume-weighted average price, and terminal price. Methodology 1. Preprocess data to obtain daily value traded, volatility, imbalance, terminal, and arrival price. 2. Use these variables as input for a non-linear regression to get eta and beta parameters in the temporary impact equation. Running the Code To run the code, follow these s
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