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Enhanced expected impact cost model under abnormally high volatility

Year
Secondary
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Abstract
The authors extend their impact cost model beyond the typical factors to address the larger transaction costs brought on by stock market crowding effects in times of market turbulence.
Author
risk.net
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Journal
https://www.risk.net/journal-of-investment-strategies/7955230/enhanced-expected-impact-cost-model-under-abnormally-high-volatility
Published
2022/11/18
Retrieved
2022/11/19 14:29
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