Non-average price impact in order-driven markets

@article{Bellani2022NonaveragePI,
  title={Non-average price impact in order-driven markets},
  author={Claudio Bellani and Damiano Brigo and Mikko S. Pakkanen and Leandro S{\'a}nchez-Betancourt},
  journal={SSRN Electronic Journal},
  year={2022}
}
We present a measurement of price impact in order-driven markets that does not require averages across executions or scenarios. Given the order book data associated with one single execution of a sell metaorder, we measure its contribution to price decrease during the trade. We do so by modelling the limit order book using state-dependent Hawkes processes, and by defining the price impact profile of the execution as a function of the compensator of a stochastic process in our model. We apply… 

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