Modeling market impact is an essential, and often overlooked, part of trading. At the end of the day, whichever market impact model you use to decide what orders to place, those orders must be executed in a real market in order to make money. Orders do not get instantly filled in the market, either. The price at which you actually get filled will depend on a variety of factors. Larger orders are harder to fill, and more volatile markets can cause the fill price to be very different from what you expect. We'll go through real examples in this lecture showing how to go about modeling the impact of your trades.
The original lecture can be found here. https://www.quantopian.com/lectures/market-impact-models
All lectures can be found here. https://www.quantopian.com/lectures
Dr. Michele Goe is a Quantative Trader at Quantopian. Prior to joining the firm in 2017, Michele held a Post-doctoral Research role at the Rochester Institute of Technology for 2 years. While there, she developed geospatially explicit non-linear optimization models, which were utilized to estimate the environmental and human health impacts of renewable energy adoption scenarios. Michele has worked as an engineer for leading design and manufacturing consumer product teams such as at Bose, Apple, and at General Motors. Dr. Goe has earned her Doctorate in Sustainability from the Rochester Institute of Technology, a Master’s in Manufacturing Engineering, and B.S. in Mechanical Engineering from the University of Michigan.