Posted on Categories:Financial Mathematics, 数学代写, 金融数学

# 数学代写|金融数学代写Financial Mathematics代考|MATH3090 Price Impact in the High Frequency Setting

avatest™

## avatest™帮您通过考试

avatest™的各个学科专家已帮了学生顺利通过达上千场考试。我们保证您快速准时完成各时长和类型的考试，包括in class、take home、online、proctor。写手整理各样的资源来或按照您学校的资料教您，创造模拟试题，提供所有的问题例子，以保证您在真实考试中取得的通过率是85%以上。如果您有即将到来的每周、季考、期中或期末考试，我们都能帮助您！

•最快12小时交付

•200+ 英语母语导师

•70分以下全额退款

## 数学代写|金融数学代写Financial Mathematics代考|Price Impact in the High Frequency Setting

Markets are now highly fragmented and exchanges use a fee structure to attract order flows. The earlier models are based on relatively low frequency asset information flow. With high frequency market makers playing a bigger role in the trading activities, the liquidity provision is now focused on short horizons. Parent orders are sliced into child orders when sent to the market resulting in a correlated sequence of trades. In this setting, the estimation of market impact has to be considered for a short duration, particularly the temporary aspect of market impact. For an elegant description of these issues related to high frequency market microstructure, see O’Hara (2015) [276].

Quoted Half-Spread: $\left(p_t^a-p_t^b\right) / 2$. Because the spread represents the cost of trades, half-spread is taken to be a measure of cost for a single trade. It reflects the order processing cost, inventory cost and anticipated loss to traders with superior information. This measure is based on the assumption that trades occur at the quotes. To compare the transaction cost, this half-spread is standardized by the mid-quote as $\left(p_t^a-p_t^b\right) /\left(p_t^a+p_t^b\right)$

Effective Half-Spread: $\left|p_t-m_t\right| / m_t$, where ‘ $m_t$ ‘ is the quote mid-point existing at time of trade. The effective spread is less than the quoted spread as the trades take place inside the spread and is generally considered to be a better measure.

Market impact is not a static concept and from the way it is defined, it is focused on the impact of the current trade on future trades. It is possible that some traders have adverse information, the price can move against the expected direction which may result in losses for the trader. To measure the market impact, it is suggested that actual post-trade prices be used. This measure is the realized spread.

## 数学代写|金融数学代写Financial Mathematics代考|Price Impact in the High Frequency Setting

Conrad 和 Wahal (2020) [83] 检查了 2010 年至 2017 年所有普通股的已实现价差和价格影响。在本节中， 我们将介绍该论文中的结果，因为它们与高频设置最相关。衡量市场影响的指标仍然是买卖价差。如第 1.5.1 节 所述，Ho 和 Stoll (1981) [196] 讨论了一个模型，在该模型中，做市商的目标是通过确定最佳买卖差价来实现 利润最大化，同时将利润不可能发生的可能性降至最低。他们模型的关键方面是考虑做市商时间范围内的交易 规模。执行成本直接由报价点差、有效点差和已实现点差衡量，并间接由 Roll 的 (1984) [291] 隐含点差衡量 (见练习 6，第 $2.12$ 节) 。

## MATLAB代写

MATLAB 是一种用于技术计算的高性能语言。它将计算、可视化和编程集成在一个易于使用的环境中，其中问题和解决方案以熟悉的数学符号表示。典型用途包括：数学和计算算法开发建模、仿真和原型制作数据分析、探索和可视化科学和工程图形应用程序开发，包括图形用户界面构建MATLAB 是一个交互式系统，其基本数据元素是一个不需要维度的数组。这使您可以解决许多技术计算问题，尤其是那些具有矩阵和向量公式的问题，而只需用 C 或 Fortran 等标量非交互式语言编写程序所需的时间的一小部分。MATLAB 名称代表矩阵实验室。MATLAB 最初的编写目的是提供对由 LINPACK 和 EISPACK 项目开发的矩阵软件的轻松访问，这两个项目共同代表了矩阵计算软件的最新技术。MATLAB 经过多年的发展，得到了许多用户的投入。在大学环境中，它是数学、工程和科学入门和高级课程的标准教学工具。在工业领域，MATLAB 是高效研究、开发和分析的首选工具。MATLAB 具有一系列称为工具箱的特定于应用程序的解决方案。对于大多数 MATLAB 用户来说非常重要，工具箱允许您学习应用专业技术。工具箱是 MATLAB 函数（M 文件）的综合集合，可扩展 MATLAB 环境以解决特定类别的问题。可用工具箱的领域包括信号处理、控制系统、神经网络、模糊逻辑、小波、仿真等。