标题: market impact and implementation shortfall [打印本页] 作者: willsucceed 时间: 2011-7-11 20:11 标题: market impact and implementation shortfall
How to get the market impact in an implementation shortfall?作者: lcai 时间: 2011-7-11 20:11
thats the realized profit/loss component
(EP-Previous day close)/BM price作者: aidebaobao 时间: 2011-7-11 20:11
terabytee Wrote:
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> thats the realized profit/loss component
>
> (EP-Previous day close)/BM price
Where is it in the book?
It seems that the market impact is no more than the realized loss. Or the realized profit/loss is the best estimate we can get.
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"Market impact is the difference between realized price and the price that would have prevailed in the absence of the order. That cost is inherently unobservable. In an analogy to the Heisenberg principle in physics,..."
