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周洪涛:Modeling Impact Trading Costs

发布日期:2013-12-26   作者:admin    浏览次数:

Abstract:

This paper analyzes the issues commonly involved in estimating extra costs for immediate transactions. Based on the NYSE TAQ tick-by-tick data, we employ a nonparametric approach, the local median regression, to identify the unknown relationship between impact costs and several financial factors for a number of representative stocks traded in NASDAQ. The result shows that, for many stock transactions, there is a certain volume threshold of trading volume beyond which impact costs increase dramatically. We find that for 99% of trading, immediate execution is optimal.