A Functional Approach to the Price Impact of Stock Trades and the Implied True Price

A Functional Approach to the Price Impact of Stock Trades and the Implied True Price

We propose a functional approach to estimate the instantaneous price impact of a trade and to infer an implied true price. Our model expresses price impact as an S-shaped function of signed volume. It has two parameters, one for price impact and one for liquidity depth. The latter measures the diffe...

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Bibliographic Details
Main Authors: Huang, R., TING, Hian Ann, Christopher
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
Subjects:
Price impact
Implied true price
Quote midpoint
Friction spread
Effective spread
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/978
https://doi.org/10.1016/j.jempfin.2007.05.001
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/978
https://doi.org/10.1016/j.jempfin.2007.05.001

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