On Trading on the Stock Market with the Shortage of the Liquidity

• Autorzy: Marek Andrzej Kociński
• Języki publikacji: EN

Abstrakty

EN

In the article the model of the market with the transaction costs is considered with the market participant who intends to sell the shares of the stock with the presence of the liquidity shortage. The shortage in the liquidity can manfest itself in the occurrence of the market impact which can siginficantly decrease the profit from the stock trade. If the trading velocity is above some level, the market impact can occure and increase the cost of the trade. However the transaction cost can be present even in case of a small transaction on the stock market. The problem of maximization of the expected amount of money obtained from the sale of the stock shares is solved for the case of strategies with the constant trade speed and the particular range of the stock price drift. The example of numerical computations with the use the formulas from the paper, is included. (original abstract)

Słowa kluczowe

EN

Transaction cost; Stock market

PL

Koszty transakcyjne; Giełda papierów wartościowych

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2019
• Tom: 20(XX)
• Numer: nr 3
• Strony: 199--208

Twórcy

autor

Marek Andrzej Kociński

• Warsaw University of Life Sciences - SGGW, Poland

Bibliografia

• Almgren R., Chriss N. (2000) Optimal Execution of Portfolio Transactions. Journal of Risk, 3(2), 5-39.
• Almgren R., Thum C., Hauptmann E., Li H. (2005) Direct Estimation of Equity Market Impact. Risk, 18, 58-62.
• Gatheral J. (2010) No-Dynamic-Arbitrage and Market Impact. Quantitative Finance 10(7), 749-759.
• Kociński M. (2018) On Stock Trading with Stock Price Drift and Market Impact. Quantitative Methods in Economics, 19(4), 388-397.
• Tóth B., Lempérière Y., Deremble C., de Lataillade J., Kockelkroken J., Bouchaud J. P. (2011), Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets. https://arxiv.org/pdf/1105.1694.pdf [access 27.06.2019].
• Zarinelli W., Treccani M., Doyne Farmer J. Lilo F. (2014) Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate. https://arxiv.org/abs/1412.2152 [access 27.06.2019].

Identyfikatory

DOI

https://doi.org/10.22630/MIBE.2019.20.3.19