Emidio Sciulli

Man AHL

1239 University Ave

Rochester, NY 14607

United States

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Quantifying Long-Term Market Impact

Number of pages: 23 Posted: 01 Jul 2021 Last Revised: 21 Sep 2021
Campbell R. Harvey, Anthony Ledford, Emidio Sciulli, Philipp Ustinov and Stefan Zohren
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc and University of Oxford - Oxford-Man Institute of Quantitative Finance
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Impact costs, slippage, square-root law, implementation shortfall, metaorders, child orders, changepoints, systematic strategies, alpha, trading strategies, optimal execution, stitching, propagator