All Questions
Tagged with order-execution market-impact
4 questions
2
votes
1
answer
142
views
Reference for Aggregated Temporary Price Impact
I am wondering if someone knows relevant literature on the joint temporary price impact. The temporary price impact here refers to the difference between the best ask/bid price and transaction price ...
- 111
1
vote
1
answer
1k
views
Can someone explain to me the square root law of market impact?
The square root law is shown here: Market impact, why square root?
Let's say I want to execute 100 lots. But I have never executed before so I have no idea what n is historically. How would I ...
- 717
5
votes
1
answer
981
views
Optimal execution of illiquid securities
I am using an API to direct orders based on some proprietary buy/sell signal. I am trying to frame a thought process which outlines the slippage/impact risks versus execution risks given the option to ...
- 3,025
11
votes
3
answers
4k
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 ...
- 1,149