Nonparametric Estimation of Self- and Cross-Impact

By Natascha Hey, Eyal Neuman, Sturmius Tuschmann

Published 2025-10-09

Everscope rating

1680.9

Relevance to quantitative trading

10 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Offline Nonparametric Constrained Least-Squares Estimation. Problem types: Regression, Algorithmic Execution, Market Making, Portfolio Optimization, Risk Management.

arXiv:2510.06879 · Paper rankings

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