Market impact costs

Market impact costs

The result of a bid/ask spread and a dealer's price concession. Also called price impact costs.
References in periodicals archive ?
One of the well-known impact models which can be used to predict changes in price due to trading activity and market impact costs is the model worked out by Almgren, Thum, Hauptmann and Li (2005).
The practical solution of this problem could be the assumption that market order execution takes place over some very short but non-zero time (which is obvious) and in this framework J contains both bid-ask spread and market impact costs. There is, however, some mathematical doubt.
Any unexecuted portion of the trade that remains after it has been reported is at risk of higher market impact costs because trading intentions are known.
Expense ratios are just one element of an ETF's cost; implicit costs, including the investor's commission costs and market impact costs must also be factored in the mix to arrive at the ETF's total cost.
However, these high-turnover, low-liquidity stocks face high transaction and large market impact costs.
They include market impact costs (those related to the buying or selling of large numbers of shares that affect price), spread costs (the difference between the bid and the ask price), and opportunity costs (those incurred due to delay in executing transactions).
Wall Street doesn't want investors to know that the easiest way to achieve that objective is to minimize all fund expenses--not only operating expenses, but trading costs, market impact costs, the cost of cash and taxes as well.
Buying and selling futures contracts also entails much lower "market impact costs"--an investor is more likely to get a better price when making one transaction than when making several.
"Rather than imposing additional requirements on BCSs, we support greater flexibility for institutional MTFs like Liquidnet to innovate to provide solutions for our customers that help reduce their market impact costs," the firm concluded.
"Our members face significant market impact costs when trading NZX-listed stocks because wholesale-sized trades in a small market can cause dramatic price changes," said Sam Macqueen, co-head, Liquidnet Australia.
*rising price pressures demanding the revision and monitoring of exchange billing to reduce trading and market impact costs.