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.
KX.COm | KXCON23 | The Science of Price Impact Modeling | kdb at Imperial College
The KXCON23 talk “The Science of Price Impact Modeling | kdb at Imperial College” will be presented by Dr. David H. Perez-Castrillo, a Senior Lecturer in Quantitative Finance at Imperial College London.
Price impact modeling is a complex and challenging field, but it is essential for traders and investors who want to understand the impact of their trades on the market. Dr. Perez-Castrillo will discuss the latest research in price impact modeling, and he will share his own insights on how to develop and implement effective price impact models.
The talk is likely to be of interest to anyone who is interested in learning more about price impact modeling, or who is looking for ways to improve the accuracy of their own price impact models.
Here are some of the topics that Dr. Perez-Castrillo is expected to cover in his talk:
- What is price impact and why is it important?
- The different types of price impact models
- The latest research in price impact modeling
- How to develop and implement effective price impact models
- Case studies of how price impact models are used in the real world
Dr. Perez-Castrillo is a highly respected expert in price impact modeling, and his talk is likely to be a valuable resource for anyone who wants to learn more about this important topic.
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