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).
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.
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.
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.
These orders will be immediately executable mid-point-only indications, typically delivering between 5 and 70 bps of direct price improvement, before any additional savings made by avoiding market impact costs - the hallmark of Liquidnet's global trading platform.
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.
In addressing the issue, we have helped institutions reduce their market impact costs, which ultimately benefits all of the individual investors who put their money into mutual funds and pension plans," Porter adds.
rising price pressures demanding the revision and monitoring of exchange billing to reduce trading and market impact costs.
It will take advantage of trading opportunities through a variety of order types and proprietary liquidity signals, while mitigating market impact costs, to provide clients with an intelligent, aggressive solution to trading orders where a high participation rate is demanded.
Specifically, QSG's research revealed that Millennium reduced market impact costs across a number of market sectors ranging from large-cap to micro-cap stocks.