The market-impact tag has no wiki summary.
8
votes
4answers
1k views
What is an effective way of backtesting VWAP execution?
From Optimal Trading Strategies :
There are two main reasons why traders
execute orders using a VWAP trading
strategy. First, a VWAP strategy is
the trading strategy that minimizes
market ...
3
votes
4answers
489 views
Do markets typically fall fast, and rise slowly
I'm wondering if there is some measurement or name to this notion, i.e.:
Markets typically fall fast, but rise slowly.
It seems like this is the case -- get some bad news out of Europe on the debt ...
9
votes
2answers
498 views
Are e-mini markets manipulated?
Are the prices of e-minis such as S&P 500, Russell 2000, EUROSTOXX, etc. manipulated? That is, are there traders who trade large enough positions to make the price go in the direction they want, ...
6
votes
3answers
316 views
What is the effect of quant finance on global markets?
Attempting to get a high level understanding of the role that quantitative finance plays in the financial global markets. Open to any suggestion on how to do this, but figure a starting point might be ...
10
votes
2answers
876 views
Is there a standard model for market impact?
Is there a standard model for market impact? I am interested in the case of high-volume equities sold in the US, during market hours, but would be interested in any pointers.
