Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Results found: 3

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  market impact
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Publication available in full text mode
Content available

TRADE DURATION AND MARKET IMPACT

100%
Kociński M.
Metody Ilościowe w Badaniach Ekonomicznych
|
2015
|
vol. 16
|
issue 1
137-146
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.
2
Publication available in full text mode
Content available

ON STOCK TRADING WITH STOCK PRICE DRIFT AND MARKET IMPACT

100%
Kociński M. A.
Metody Ilościowe w Badaniach Ekonomicznych
|
2018
|
vol. 19
|
issue 4
388-397
EN
The drift in the stock price and the occurring of the transaction costs in the stock market can significantly affect the profitability of the investment in the stock. In the article the model of the market is described with the stock price drift and two sources of the transaction costs: bid-ask spread and market impact. In the considered model, the trading strategy which maximizes the expected amount of money received from selling the shares of the stock of the market participant subject to the constraint of the constant trading velocity is explicitly determined. The numerical example is also included.
3
Publication available in full text mode
Content available

ON TRANSACTION COSTS IN STOCK TRADING

88%
Kociński M. A.
Metody Ilościowe w Badaniach Ekonomicznych
|
2017
|
vol. 18
|
issue 1
58-67
EN
Liquidity is an important characteristic of a stock traded on the stock exchange. The expected value of transaction costs, which takes into account the transaction's volume and duration, may be a considered as an important measure of a liquidity of a traded stock. In this paper the formulas for expected transaction cost, caused by bid-ask spread and market impact are presented. Moreover, in this article, the problem of determining a duration of a transaction of a stock sale which minimizes the transaction cost and takes into account the forecast of the expected stock price on the stock exchange, is considered.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.