[R-SIG-Finance] Measuring Price Impact of Trade

[Roupell, Darko]

Hi All,

Measuring price impact of trade is very topical in institutional space, so I looked into that over the past few weeks to see if there was anything done in R. 

Apart of the attached code done by so-called "MaxDama" that tries to replicate the attached paper not much was there.

In particular, the issue related how to extrapolate the power-law coefficient across different participation rates of daily average volume.
 
RTAQ has a function called realized spread but the very assumption (that difference between transaction Price and Midpoint 5 mins later reflects price impact) is very dubious as it assumes no impact of trades in between. At least the testing of it gives inconclusive result.

I wonder if anyone in R SIG Finance finds this topical and would be happy to share thoughts so we can come up with reasonable function to implement it. 

Thanks.

__________________________________________________
Darko Roupell 

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