Chapter 10: Estimating I-Star Market Impact Model Parameters
Introduction
In this chapter we introduce a framework enabling readers to build, test, and evaluate market impact models. We provide a methodology to estimate the parameters of the much celebrated “I-Star” model. Readers should experiment with alternative models to determine the most suitable framework for their trading and investing needs.
Our estimation framework is based on the scientific method, a “process” scientists use to achieve higher levels of knowledge and “quants” use to achieve higher levels of accuracy. The scientific method is appropriate from elementary school through Ph.D. dissertations through financial practice. Yet, at times, Wall Street analysts in their ...
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