搜索结果: 1-2 共查到“商业经济学 price impact”相关记录2条 . 查询时间(0.091 秒)
Drift dependence of optimal order execution strategies under transient price impact
Drift dependence of optimal order execution strategies transient price impact Trading and Market Microstructure
2012/4/28
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with expo...
The price impact of order book events: market orders, limit orders and cancellations
price impact market orders limit orders cancellations market microstructure order flow
2010/10/29
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce...