Statistical characteristics of price impact in high-frequency trading
Author:
Affiliation:
1. School of Systems Science , Beijing Normal University , No.19 , Xinjiekouwai St. , Haidian District , Beijing, 100875 , China
Abstract
Funder
National Natural Science Foundation of China
Publisher
Walter de Gruyter GmbH
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Analysis,Economics and Econometrics,Social Sciences (miscellaneous),Analysis
Link
https://www.degruyter.com/document/doi/10.1515/snde-2018-0067/pdf
Reference32 articles.
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2. Almgren, R., and N. Chriss. 2000. “Optimal Execution of Portfolio Transactions.” Journal of Risk 3: 5–39, https://doi.org/10.21314/jor.2001.041.
3. Almgren, R., C. Thum, E. Hauptman, and L. Hong. 2005. “Direct Estimation of Equity Market Impact.” Risk 18.
4. Almgren, R. F. 2003. “Optimal Execution with Nonlinear Impact Functions and Trading-enhanced Risk.” Applied Mathematical Finance 10: 1–18, https://doi.org/10.1080/135048602100056.
5. Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-section and Time-series Effects.” Journal of Financial Markets 5 (1): 31–56, https://doi.org/10.1016/s1386-4181(01)00024-6.
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