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Chris Sparrow and Andrew Karsgaard

TradeTalks Ep. 10: Market Impact Model

In this episode of TradeTalks we develop our ideas on cost estimation models. In Episode 5 we discussed the components required to build a Pre-Trade model. Now, we look at how those components combine to create three different types of cost estimate. These three cost types are then combined to create an overall estimated cost for the order...throughout its projected lifetime!




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