Quantifying Long-Term Market Impact

Campbell R. Harvey; Anthony Ledford; Emidio Sciulli; Philipp Ustinov; Stefan Zohren

doi:10.3905/jpm.2021.1.324

Quantifying Long-Term Market Impact

Campbell R. Harvey, Anthony Ledford, Emidio Sciulli, Philipp Ustinov and Stefan Zohren

The Journal of Portfolio Management February 2022, jpm.2021.1.324; DOI: https://doi.org/10.3905/jpm.2021.1.324

Campbell R. Harvey

is professor of finance at Duke University in Durham, NC, and research associate at the National Bureau of Economic Research in Cambridge, MA

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Anthony Ledford

is chief scientist at Man-AHL in Oxford, UK

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Emidio Sciulli

is head of fast trading strategies at Man-AHL in London, UK

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Philipp Ustinov

is a principal quant at Man-AHL in London, UK

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Stefan Zohren

is a principal quant at Man-AHL in London, UK, and deputy director of the Oxford-Man Institute for Quantitative Finance at the University of Oxford, UK

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The Journal of Portfolio Management

Vol. 49, Issue 4

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Quantifying Long-Term Market Impact

Campbell R. Harvey, Anthony Ledford, Emidio Sciulli, Philipp Ustinov, Stefan Zohren

The Journal of Portfolio Management Dec 2021, jpm.2021.1.324; DOI: 10.3905/jpm.2021.1.324

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Quantifying Long-Term Market Impact

Campbell R. Harvey, Anthony Ledford, Emidio Sciulli, Philipp Ustinov, Stefan Zohren

The Journal of Portfolio Management Dec 2021, jpm.2021.1.324; DOI: 10.3905/jpm.2021.1.324

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