Apr 2, 2019

Optimising Market Impact with an efficient trading frontier.

The ability to trade depends on sufficient market depth and diversity of participants. Each new trade jolts the market out of equilibrium, skewing the market away from the mid-rate. Market impact costs arise as a result of a call on the available liquidity. Each trade changes the market. Is it therefore better to trade all in one go, or trade in increments over time?

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