Price Impact Models and Applications to

At the end of the course, students are expected to understand how to design live trading experiments, fit price impact models and apply price impact models to a broad set of quantitative strategies. Special emphasis is placed on acquiring the ability to communicate precise assumptions and actionable results to a general audience within the finance community. The class is divided into three modules: (a) a quick primer on trading, the role of price impact in quantitative finance and the database language kdb+ (b) real-life applications of price impact models within trading teams, including optimal execution, statistical arbitrage, and liquidity risk management (c) the design and study of live trading experiments using causal inference with applications to Transaction Cost Analysis (TCA) and high frequency trading.