第6回研究会

開催日：

2016年8月16日 (火)　13:00-14:30, 14:45-16:15

会場：

丸の内永楽ビルディング18階 首都大学東京 丸の内サテライトキャンパス

報告者：

Prof. Christopher Ting (Singapore Management University)

タイトル：

The Market Microstructure of Price Impact in Algorithmic Trading

概要Abstract

When buying or selling a large number of shares in the stock exchange, there will be a price impact, which must be taken into consideration in the framework of implementation shortfall. This lecture provides a market microstructure perspective on algorithmic trading strategies. Various methods to quantify the temporary and permanent price impacts will be elaborated, leading to a unified methodology to construct a liquidity index for each stock. A demonstration of live trading will be conducted on Trading Technologies’X Trader. The takeaway from this lecture is that the cost of price impact is non-trivial and fund managers need to be mindful of the market price of liquidity risk.