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Market Impact Estimation via Causal Foundation Models

Thumm, Dennis et al.
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and-sciencecomputational-engineering
When a trader executes a large order, the relevant question is not \emph{what will the price be?} but \emph{what would the price have been had I not traded?} Market impact is thus a causal quantity, yet classical models (Almgren--Chriss, propagators) regress price on flow, which is biased whenever i
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