The Cost of Misspecifying Price Impact

Portfolio managers' orders trade off return and trading cost predictions. Return predictions rely on alpha models, whereas price impact models quantify trading costs. This paper studies what happens when trades are based on an incorrect price impact model, so that the portfolio either over- or...

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Bibliographische Detailangaben

Hauptverfasser:	Hey, Natascha, Bouchaud, Jean-Philippe, Mastromatteo, Iacopo, Muhle-Karbe, Johannes, Webster, Kevin
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Trading and Microstructure
Online-Zugang:	Volltext bestellen
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