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The Science of Algorithmic Trading and Portfolio Management by Robert Kissell

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Chapter 12

Cost Index & Multi-Asset Trading Costs

This chapter expands our previous chapter and applies the model to the various asset classes. This chapter shows how to calibrate the model parameters based upon the trading characteristics of each financial instrument, and how to determine most important determinants of market impact. In this chapter we develop a market impact model for equities, futures, ETFs, fixed income, commodities, and foreign exchange rates. We further apply these models to determine the costs across countries, asset classes, and sectors.

Keywords

cost index; real-time trading costs; calibrating model parameters; multi-asset market impact; trading futures; market impact cost; exchange traded funds; ETF; fixed income; sectors; ...

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