Market impact
The impact of visible and dark orders
This paper presents empirical evidence of how different components of order flow affect returns.
GFMA, IIF, Isda plan liquidity lobbying push
Draft report urges regulators to consider impact of FRTB and FTT on markets
Robert Litterman: lessons from the quant quake
Ex-Goldman partner says size, crowding and equity risk are bad for quant funds
Dark pools and platforms vie to fix credit markets
A side-effect of tough bank capital rules could be the rise of dark pools for credit trading
Cutting edge introduction: Hidden models for hidden costs
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage