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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2008
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| Subjects: | |
| 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 |