[R-SIG-Finance] Analysis of market impact

[Bjorn Hertzberg]

The standard reference for market impact analyses is: http://www.courant.nyu.edu/~almgren/papers/optliq.pdf

/bjorn



28 dec 2009 kl. 07.41 skrev Megh <megh700004 at yahoo.com>:

>
> Hi all, Merry Christmas and happy new year
>
> Here I am into some analysis on, maximum how many lots a market  
> perticipant
> can buy/sell in a particular day, on a particular futures contract  
> without
> altering the normal market dynamics and in what extend dynamics  
> would be
> influenced for some trade exceeding that stipulated amount.
>
> Data I have is, contract-wise high, low, open, close quote as well  
> as traded
> volume on daily basis. Can experts here point out how should I do  
> that. Any
> references/published papers/books will be highly helpful to me.
>
> Thanks and regards,
> -- 
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