Market Impact Paradoxes

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

MoreLess

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

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Wilmott Magazine, March 2014, pp 71-78 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 11, 2013 erstellt
Other identifiers:	10.2139/ssrn.2298956 [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/10013063405