Cross-asset price impact is set-identified, not point-identified: the confounding gap has rank at most K + rank(B). A diagonal truth still yields a dense cross-impact matrix, and the trades immune to the resulting cost error form a large but measure-zero subspace. Preregistered and reproducible.
reproducible-research econometrics quantitative-finance limit-order-book factor-models preregistration market-microstructure orderflow partial-identification price-impact cross-impact
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Updated
Aug 16, 2026 - Python