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A Comparison of the Forecasting Ability of Immediate Price Impact Models

Pham, Manh Cuong - 2015

As a consequence of recent technological advances and the proliferation of algorithmic and high frequency trading, the cost of trading in financial markets has irrevocably changed. One important change relates to how trading affects prices; known as price impact. Price impact represents the...

Persistent link: https://www.econbiz.de/10013032055

A comparison of the forecasting ability of immediate price impact models

Manh Cuong Pham; Huu Nhan Duong; Lajbcygier, Paul - In: Journal of forecasting 36 (2017) 8, pp. 898-918

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Elusive return predictability : discussion

Brown, Stephen J. - In: International journal of forecasting 24 (2008) 1, pp. 19-21

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Systematic risk and the cross section of hedge fund returns

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131

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Elusive return predictability: reply to the discussion

Timmermann, Allan - In: International journal of forecasting 24 (2008) 1, pp. 29-30

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Upside potential of hedge funds as a predictor of future performance

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of banking & finance 98 (2019), pp. 212-229

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Is economic uncertainty priced in the cross-section of stock returns?

Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: Journal of financial economics 126 (2017) 3, pp. 471-489

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Disagreement in economic forecasts and equity returns : risk or mispricing?

Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: China finance review international 13 (2023) 3, pp. 309-341

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