Hongtao Zhou: Modeling Impact Trading Costs-山东大学经济研究院
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Hongtao Zhou: Modeling Impact Trading Costs
Updat:Dec 26, 2013   Author:admin   Click:[]

Abstract:

This paper analyzes the issues commonly involved in estimating extra costs for immediate transactions. Based on the NYSE TAQ tick-by-tick data, we employ a nonparametric approach, the local median regression, to identify the unknown relationship between impact costs and several financial factors for a number of representative stocks traded in NASDAQ. The result shows that, for many stock transactions, there is a certain volume threshold of trading volume beyond which impact costs increase dramatically. We find that for 99% of trading, immediate execution is optimal.

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