Market Impact Paradoxes

The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a slightly convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We suggest a model that ts all trading regimes and guarantees no-dynamic-arbitrage

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Year of publication:	2014
Authors:	Skachkov, Igor
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Börsenkurs \| Share price

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Extent:	1 Online-Ressource (50 p)
Series:	February 19, 2014 Cornell University, CFEM Seminar
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 19, 2014 erstellt
Other identifiers:	10.2139/ssrn.2399030 [DOI]
Classification:	C13 - Estimation ; C21 - Cross-Sectional Models; Spatial Models ; C44 - Statistical Decision Theory; Operations Research ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013058402