May 2011
Intermediate to advanced
366 pages
11h 31m
English
book
Managed Futures for Institutional Investors: Analysis And Portfolio Construction
by Galen Burghardt, Brian Walls
Content preview from Managed Futures for Institutional Investors: Analysis And Portfolio Construction
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P1: OTA/XYZ P2: ABC
JWBT468-c11 JWBT468-Burghardt March 12, 2011 2:0 Printer Name: Courier Westford
Measuring Market Impact and Liquidity 237
in the market allows. The effect on the spread, however, is proportional to
the square root of the order size. Thus, a quadrupling of the order size only
doubles the size of the spread. Trading volume, the square root of which
appearsinthedenominator,worksinthesamewayasordersizebutinthe
opposite direction. A quadrupling of useable trading volume in the market
would cut the spread in half.
As a practical matter, compensation per contract in this exercise would
be one half the bid/ask spread for orders of any given ...
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