- Tytuł:
- ON STOCK TRADING WITH STOCK PRICE DRIFT AND MARKET IMPACT
- Autorzy:
- Kociński, Marek Andrzej
- Powiązania:
- https://bibliotekanauki.pl/articles/453904.pdf
- Data publikacji:
- 2018
- Wydawca:
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
- Tematy:
-
transaction cost
market impact
stock price drift
trading speed - Opis:
- The drift in the stock price and the occurring of the transaction costs in the stock market can significantly affect the profitability of the investment in the stock. In the article the model of the market is described with the stock price drift and two sources of the transaction costs: bid-ask spread and market impact. In the considered model, the trading strategy which maximizes the expected amount of money received from selling the shares of the stock of the market participant subject to the constraint of the constant trading velocity is explicitly determined. The numerical example is also included.
- Źródło:
-
Metody Ilościowe w Badaniach Ekonomicznych; 2018, 19, 4; 388-397
2082-792X - Pojawia się w:
- Metody Ilościowe w Badaniach Ekonomicznych
- Dostawca treści:
- Biblioteka Nauki
Artykuł