نتایج جستجو برای: temporary price impact and

تعداد نتایج: 16966906  

پایان نامه :0 1391

uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...

Journal: :تحقیقات مالی 0
احمد احمدپور استاد حسابداری، دانشکدة علوم اقتصادی و اداری، دانشگاه مازندران، بابلسر، ایران مهراب نصیری دانشجوی کارشناسی ارشد حسابداری، دانشکدة علوم اقتصادی و اداری، دانشگاه مازندران، بابلسر، ایران

the main purpose of this study, is surveying the factors that affect price impact of block trades in the stock market. for this reason, the sample consisted of 525 block trades have been selected randomly of accepted companies in tehran stock exchange, that have block trade during the period 1390 to 1392. in this paper, total, temporary and permanent price impact is used as dependent variables,...

Journal: :SSRN Electronic Journal 2016

Journal: :International Journal of Theoretical and Applied Finance 2021

We model an informed agent with information about the future value of asset trying to maximize profits when agent’s trades are subjected a transaction cost as well market maker tasked setting fair prices. In single auction model, equilibrium is characterized by unique root particular polynomial. Analysis this polynomial small levels risk-aversion and costs reveal dimensionless parameter which c...

Journal: :Siam Journal on Financial Mathematics 2022

We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general predicting finite-variation signal. formulate this problem as minimization cost-risk functional over class absolutely continuous signal-adaptive strategies. The stochastic control is solved by following probabilistic convex analytic approach. show that trading str...

2006
Chuan-Hoo Tan Khim-Yong Goh Hock-Hai Teo Kim Sia Sim

This article examines the influences of two forms of buyout options – permanent (i.e., a buyer could buy out the item at any point during the entire bidding process) and temporary (i.e., buyout option ceases to be present once the bidding price exceeds the reserve price) – under the presence of reserve price on a buyer’s decision in online auctions. We propose that the presence of permanent buy...

2013
Terrence Hendershott Charles M. Jones Albert J. Menkveld

Regulators and some large investors have recently raised concerns about temporary or transitory volatility in highly automated financial markets. It is far from clear that high-frequency trading, fragmentation, and automation are contributing to transitory volatility, but some institutions complain that their execution costs are increasing. In this chapter, we introduce a methodology for decomp...

2012

We study intertemporal price discrimination when consumers can store for future consumption needs. To make the problem tractable we o¤er a simple model of demand dynamics, which we estimate using market level data. Optimal pricing involves temporary price reductions that enable sellers to discriminate between price sensitive consumers, who anticipate purchases for future consumption, and less p...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه تبریز - دانشکده ادبیات و زبانهای خارجی 1393

abstract this quasi-experimental study was aimed at examining the impact of storyline complexity on the grammatical accuracy and complexity of advanced and intermediate efl learners. a total of 65 advanced and intermediate efl learners were selected from iran language institute (ili). an intact group including 35 intermediate participants and another intact group with 30 advanced participants ...

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