haku: @journal_id 4678 / yhteensä: 114
viite: 95 / 114
| Tekijä: | Huberman, G. Stanzl, W. |
| Otsikko: | Optimal liquidity trading |
| Lehti: | Review of finance
2005 : VOL 9:2, p. 165-200 |
| Asiasana: | Stock markets Trading Models |
| Kieli: | eng |
| Tiivistelmä: | Explicit formulas for the optimal trading (hereafter as: tr-g.) strategies show that risk-averse liquidity (here as: liq-y.) traders (here as: tr-s.) reduce their order sizes over time, executing a higher fraction of their total tr-g. volume in early periods when price volatility (here as: vol-y.) or liq-y. increases. In the presence of transaction fees, tr-s. want to trade less often when either price vol-y. or liq-y. goes up or when the speed of price reversion declines. In the multi-asset case, price effects across assets have a substantial impact on trading behaviour. |
SCIMA