• Corpus ID: 14180382

The Market Impact Model TM

@inproceedings{Torre2000TheMI,
  title={The Market Impact Model TM},
  author={Nicolo G. Torre and D. Ph. and Mark J. Ferrari},
  year={2000}
}

Portfolio optimization under market impact costs

Grammatical Evolution, a form of Genetic Programming, is used to create portfolio strategies on an artificial market suited to simulate market impact which considerably outperform a linearly built-up Markowitz tangency portfolio by limiting the invested amount and adjusting the portfolio weights.

The Budapest liquidity measure and the price impact function

During the 2007/2008 global economic crisis, market liquidity became an important issue both on the field of theoretical finance and in practice. In theory market liquidity is usually being modeled