Causal Forests for Inferring Market Action Price Impacts

September 24, 2020 - Typical analysis of market impact is conducted at the parent order level so as to be able to estimate the cost of executing certain lots of instruments. A lot happens from the time an order hits the tape for execution; price impact or price discovery is not instantaneous, it is a gradual process that builds up from the first limit order placed on the order book. In this research, we look at price impact using market by order data and break down the analysis for individual new limit orders, limit order cancellations, and trades.

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