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TRADE DURATION AND MARKET IMPACT

100%
Kociński M.
Metody Ilościowe w Badaniach Ekonomicznych
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2015
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vol. 16
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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.
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ON TRANSACTION COSTS IN STOCK TRADING

88%
Kociński M. A.
Metody Ilościowe w Badaniach Ekonomicznych
|
2017
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vol. 18
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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.
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