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While many models say impact is sub-linear, it souds dangerous to believe this. Given large enough size of a VWAP order I would imagine the opposite, i.e. super linear. There is a theoretical argument as well to linear impact: Imagine 10 VWAP orders of 10 different traders making up the buy trades of a day for a security, each of them trading the same ...


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Depends on the execution algorithm and market. I have heard of many funds spending few PhD years of research finding out the answer wrt their in house algorithms. Ususally they failed as they do not have enough trades for this (even big funds). Impact is on the order of magnitude of bps, while daily volatility is few orders of magnitues higher. Attributing ...



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