TRADE DURATION AND MARKET IMPACT
TRADE DURATION AND MARKET IMPACT
Author(s): Marek Andrzej KocińskiSubject(s): Business Economy / Management
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: market impact; square root impact law; trade duration; transaction cost
Summary/Abstract: In this article the problem of the algorithm of the transaction execution as the factor in market impact modelling is studied. The current state of research in this area is presented and discussed. The paper adds new arguments to the discussion on this topic. Moreover, the solution to the problem of the trade execution’s duration in practical application of [Almgren et al. 2005] market impact model is proposed.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XVI/2015
- Issue No: 1
- Page Range: 137-146
- Page Count: 10
- Language: English
