Trading with Concave Price Impact and Impact Decay-Theory and Evidence

• 成果类型: Article
• 署名作者: Hey, Natascha; Mastromatteo, Iacopo; Muhle-Karbe, Johannes; Webster, Kevin
• 署名单位: Institut Polytechnique de Paris; Ecole Polytechnique; Imperial College London
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2023.0620
• 发表日期: 2025
• 关键词: limit order book; execution; MARKETS

摘要

We study statistical arbitrage problems accounting for the nonlinear and transient price impact of metaorders observed empirically. We show that simple explicit trading rules can be derived even for general nonparametric alpha and liquidity signals and also discuss extensions to several impact decay timescales. These results are illustrated using a proprietary data set of Capital Fund Management metaorders, which allows us to calibrate the levels, concavity, and decay parameters of the price impact model and analyze their effects on optimal trading.