Recent content by stevewilson24

I am trying to study the potential market impact of extremely large ETF orders (>20% of ADV) made over relatively short time periods (~1 hour). Conventional market impact models for equities would show a fairly sizable market impact cost with a trade this size. My question is whether very...

I am trying to study the potential market impact of extremely large ETF orders (>20% of ADV) made over relatively short time periods (~1 hour). Conventional market impact models for equities would show a fairly sizable market impact cost with a trade this size. My question is whether...