TRADE DURATION AND MARKET IMPACT

• Authors: Kociński Marek
• Languages of publication: EN

Abstracts

EN

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.

Keywords

EN

market impact; square root impact law; trade duration; transaction cost

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2015
• Volume: 16
• Issue: 1
• Pages: 137-146

Dates

published

2015

Contributors

author

Kociński Marek

• Department of Applied Mathematics, Warsaw University of Life Sciences – SGGW

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