Price Impact in Financial Markets

Faculty Member: 

Proposal Description:

Existing research has identified measures of price impact in financial markets as a key input for calculating the social value of arbitrage. The RA in this project will assist the researchers by reading and summarizing existing literature on how to identify and measure price impact in financial markets, and subsequently implementing these procedures in actual data. Although the goal of the project is not to develop investment strategies, this is an ideal project for students interested in trading and investments.

Requisite Skills and Qualifications:

The ideal candidate has previous exposure to finance (e.g., Financial Theory, Applied Quantitative Finance) and is comfortable reading empirical finance research. Knowledge of some statistical software (ideally, R) is important.

Please include in your application: a transcript with relevant coursework, a list with software proficiency levels, and one short paragraph explaining why you are interested in this project.

  • Raj Ramnani