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Market Impact Estimation via Causal Foundation Models

arXiv:2610.12537v1 Announce Type: new Abstract: When a trader executes a large order, the relevant question is not \emph{what will the price be?} but \emph{what would the price have been had I not traded?} Market impact is thus a causal quantity, yet classical models (Almgren--Chriss, propagators)…

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  1. 2026-10-12 04:00 · arXiv cs.LG
    Market Impact Estimation via Causal Foundation Models

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