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Tytuł artykułu
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Warianty tytułu
Języki publikacji
Abstrakty
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)
Rocznik
Tom
Numer
Strony
137--146
Opis fizyczny
Twórcy
autor
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Bibliografia
- Doman M. (2011) Mikrostruktura giełd papierów wartościowych", Wydawnictwo Uniwersytetu Ekonomicznego w Poznaniu, Poznań.
- Elton R. J., Gruber M. J., Brown S. J., Goetzmann W. N. (2010) Modern Portfolio Theory and Investment Analysis, John Wiley & Sons, Hoboken.
- Engle R., Ferstenberg R., Russel J. (2008) Measuring and modeling execution cost and risk, http://faculty.chicagobooth.edu/jeffrey.russell/research/transcost.pdf
- Gatheral J., No-Dynamic-Arbitrage and Market Impact (2010) Quantitative Finance 10, pp. 749-759.
- Gatheral J., Schied A. (2013) Dynamic models of market impact and algorithm for order execution, [in:] Fouque J.-P., Langsam J. A. (eds.) Handbook on Systemic Risk, Cambridge University Press, Cambridge.
- Grinold R. C., Kahn R. N. (2000) Active Portfolio Management, McGraw Hill, New York.
- Guéant O. (2014) Permanent market impact can be nonlinear, http://arxiv.org/pdf/1305.0413v4.pdf
- Kociński M. (2014) Transaction Costs and Market Impact in Investment Management, e- Finanse, pp. 28-35.
- Kyle A. S., (1985) Continuous auctions and insider trading, Econometrica 53, pp. 1315-1335.
- Scherer B. (2010) Portfolio Construction and Risk Budgeting, Risk Books, London.
- Schied A., Slynko A. (2011) [in:] Blath J., Imkeller P., Roelly S. (eds.) Surveys in Stochastic Processes, European Mathematical Society Publishing House, Zürich.
- Tóth B., Lempérière Y., Deremble C., de Lataillade J., Kockelkoren J., Bouchaud J.-P. (2011) Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets, http://journals.aps.org/prx/pdf/10.1103/PhysRevX.1.021006
- 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, http://arxiv.org/pdf/1412.2152v1.pdf WSE Statistics Bulletin (2014) http://www.gpw.pl/statystyki_roczne.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171415027