Search Results - subject:"impact function"

Establishing dynamic impact function for house pricing based on surrending multi-attributes : evidence from Taipei city, Taiwan

Chen, Jieh-Haur; Yang, Li-Ren; Azzizi, Vidya Trisandin; … - In: International journal of strategic property management 24 (2020) 2, pp. 119-129

Persistent link: https://www.econbiz.de/10013414837

Economic impact of energy consumption change caused by global warming

Lang, Peter A.; Gregory, Kenneth B. - 2018

Persistent link: https://www.econbiz.de/10012204001

Semiparametric GARCH via Bayesian model averaging

Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452

Persistent link: https://www.econbiz.de/10012499090

Price impact and the recovery of the limit order book: Why should we care about informed liquidity providers?

Havran, Dániel; Váradi, Kata - 2015

Stock Exchange stocks, we decompose the shape of the immediate price impact function to main three components, slope …

Persistent link: https://www.econbiz.de/10011444403

Price impact and the recovery of the limit order book : why should we care about informed liquidity providers?

Havran, Dániel; Váradi, Kata - 2015

Stock Exchange stocks, we decompose the shape of the immediate price impact function to main three components, slope …

Persistent link: https://www.econbiz.de/10011317119

The Budapest liquidity measure and the price impact function

Gyarmati, Ákos; Lublóy, Ágnes; Váradi, Kata - Volkswirtschaftliche Fakultät, … - 2012

study we show how the price impact function can be estimated from order book data. Our estimation is based on the Budapest … importance, as the price impact function can be a useful tool during a dynamic portfolio optimization process. The price impact …

Persistent link: https://www.econbiz.de/10011258907

Price Impact Costs and the Limit of Arbitrage

Chen, Zhiwu; Stanzl, Werner; Watanabe, Masahiro - School of Management, Yale University - 2002

-impact costs are taken into account. A non-linear price-impact function is individually estimated for 5173 stocks to assess the … concave price-impact function tends to assign a higher impact cost to mid-size trades and a lower impact to large-size trades …

Persistent link: https://www.econbiz.de/10005586927

Optimal Execution in a Market with Small Investors

Ishii, Ryosuke - In: Applied Mathematical Finance 17 (2010) 5, pp. 431-451

securities over a fixed finite number of periods. In this model, the market impact function that yields the execution prices for …

Persistent link: https://www.econbiz.de/10008674999

Multistability of impact, utility and threshold concepts of binary choice models

Ostasiewicz, K.; Tyc, M.H.; Radosz, A.; Magnuszewski, P.; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 25, pp. 6337-6352

The decision making problem in the context of binary choice is considered by means of impact function, utility function … and threshold model approaches. The properties of generalized impact function and utility function are examined; it is …

Persistent link: https://www.econbiz.de/10010591834

Testing the Conditional Mean Function of Autoregressive Conditional Duration Models

Hautsch, Nikolaus - Økonomisk Institut, Københavns Universitet - 2006

This paper proposes a dynamic proportional hazard (PH) model with non-specified baseline hazard for the modelling of autoregressive duration processes. A categorization of the durations allows us to reformulate the PH model as an ordered response model based on extreme value distributed errors....

Persistent link: https://www.econbiz.de/10005543581