Trade Duration and Market Impact

• Autorzy: Marek Andrzej Kociński
• Języki publikacji: EN

Abstrakty

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.(original abstract)

Słowa kluczowe

EN

Trade; Market

PL

Handel; Rynek

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2015
• Tom: 16(XVI)
• Numer: nr 1
• Strony: 137--146

Twórcy

autor

Marek Andrzej Kociński

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

Bibliografia

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