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Calibration of optimal execution of financial transactions in the presence of transient market impact
Calibration financial transactions market
2012/9/14
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 ...
Capital Market Impact of Product Marketing Strategy: Evidence From the Relationship Between Advertising Expenses and Cost of Capital
advertising capital and product markets capital structure cost of capital
2011/9/12
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...
Market impact and trading profile of large trading orders in stock markets
Market impact trading profile stock markets
2010/11/1
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...