Enhanced expected impact cost model under abnormally high volatility
Year of publication: |
2022
|
---|---|
Authors: | Tucci, Gabriel ; Jain, Sameer ; Zhang, Aiying ; Ge, Wenting |
Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1238, ZDB-ID 2889641-5. - Vol. 11.2022, 3, p. 43-59
|
Subject: | impact cost | algorithmic trading | execution | volatility | Chicago Board Options Exchange Volatility Index (VIX) |
-
Reflections on recent volatility
Sinclair, Euan, (2018)
-
Spoofing and price manipulation in order-driven markets
Cartea, Álvaro, (2020)
-
The economics of flash orders and trading
Harris, Lawrence E., (2016)
- More ...
-
Investing in Private Equity - Capital Commitment Considerations
Jain, Sameer, (2012)
-
Investing in private equity : capital commitment considerations
Jain, Sameer, (2012)
-
Optimal Number of Active Managers
Jain, Sameer, (2018)
- More ...