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搜索结果: 1-7 共查到经济学 Market Impact相关记录7条 . 查询时间(0.156 秒)
Trading large volumes of a nancial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A ...
For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into suc...
To analyze the prospect of a firm's advertising decision affecting shareholder wealth, this article investigates the relationship between a firm's advertising expenditure and the market-imposed weight...
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically ...
We study the optimal execution problem in the market model in consideration of market impact. First we study the discrete-time model and describe the value function with respect to the trader’s optimi...
We empirically study the market impact of trading orders. We are speci cally interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed ba...
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I ...

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