Market impact measurement of a VWAP trading algorithm
Jan Fraenkle; Svetlozar (Zari) Rachev; Christian Scherrer
| Year of publication: |
2011
|
|---|---|
| Authors: | Fraenkle, Jan ; Račev, Svetlozar T. ; Scherrer, Christian |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 4.2010/11, 3, p. 254-274
|
| Subject: | Elektronisches Handelssystem | Electronic trading | Börsenkurs | Share price | Transaktionskosten | Transaction costs | Marktmikrostruktur | Market microstructure | USA | United States | Japan | EU-Staaten | EU countries | Kanada | Canada |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009271188