Forecasting market impact costs and identifying expensive trades

Journal of Forecasting

Volumn 27, Issue 1, 2008, Pages 21-39

  Bikker, Jacob A ^a   Spierdijk, Laura ^b   Hoevenaars, Roy P M M ^c   Van Der Sluis, Pieter Jelle ^d  

^a DE NEDERLANDSCHE BANK   (Netherlands)

^b UNIVERSITY OF GRONINGEN   (Netherlands)

^c ABP   (Netherlands)

^d VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Forecasting extremes; Market impact costs; Trading cost management

Indexed keywords

COST EFFECTIVENESS; FORECASTING; MARKETING;

PENSION FUND; TRADING COSTS;

COMMERCE;

EID: 39349083603     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1052     Document Type: Article

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