market impact – BSIC | Bocconi Students Investment Club

Modelling Transaction Costs and Market Impact

Download PDF Introduction Transaction costs are a critical component of trading strategies, as they can have a significant impact on returns. Institutional investors need to be able to accurately model transaction costs to make informed decisions in backtesting and optimising their strategies. In this article, we will explore the various Read more…

By BSIC, 2 years16 April 2023 ago

Using Fourier transform to detect large orders: Part 1

In the last two decades, advancements in information technology have contributed in the creation of virtual marketplaces where buyers and sellers are brought together through an electronic trading platform. Electronic trading is rapidly replacing human trading in global securities markets. Therefore, human best-execution practice has naturally evolved into automated execution Read more…

By BSIC, 9 years6 March 2016 ago