Modeling market impact and timing risk in volume time
نویسندگان
چکیده
منابع مشابه
Modeling market impact and timing risk in volume time
Intraday volatility and market impact models in volume time are proposed. We build an intraday volatility profile to capture non-stationarity of intraday price returns and utilize a fractional Brownian motion process to measure deviations from square root scaling rule of volatility. We propose a generalized, scalable market impact model that encompasses two mainstream approaches: an aggregated ...
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ژورنال
عنوان ژورنال: Algorithmic Finance
سال: 2013
ISSN: 2157-6203,2158-5571
DOI: 10.3233/af-13020