Price impact for large orders

Benazzouz, Sami Mohammed

http://hdl.handle.net/10362/173076

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Autores

Benazzouz, Sami Mohammed

Orientador(es)

Hirschey, Nicholas H.

Berrahil, Karim

Roche, Marvin

Resumo(s)

This study examines the relationship between Kyle's lambda and the square root law in financial markets. We investigate how these concepts affect the phenomenon of price impact and discuss their implications for trading strategies. Our findings suggest that a thorough understanding of Kyle's lambda and the square root law can provide valuable insights into price impact and lead to more profitable trading decisions.

Palavras-chave

Market microstructure Algorithmic trading Kyle´s lambda Square root law Price impact Financial markets Trading strategies Market volatility Market participants Transaction costs Slippage

URI

http://hdl.handle.net/10362/173076

Coleções

NSBE - MA Dissertations

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