KXCON23 | The Science of Price Impact Modeling | kdb at Imperial College

Описание к видео KXCON23 | The Science of Price Impact Modeling | kdb at Imperial College

In this session, Kevin will share his experience leveraging kdb to estimate and run price impact models on high-frequency Nasdaq trading data from lobster. Price impact models answer novel questions at the forefront of quantitative finance, such as:
• How do stock prices react to a trading strategy?
• How to scale a portfolio considering its trading costs and liquidity risk?
• How to measure and improve trading algorithms while avoiding causal biases?
By utilizing kdb, practitioners can answer these questions and apply price impact models to devise, backtest, and deploy systematic strategies to live trading.

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