DYNAMIC TRADING VOLUME

By Paolo Guasoni, M. Weber. 2012

47 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6c8274264cd0629365d485bce36b700665ade71d

Citations in the corpus

• TRADING WITH SMALL PRICE IMPACT (2014, unknown): “…St/X θ t ) obtains if risk tolerance Rt is proportional to current wealth Xθ t (i.e., if relative risk aversion is constant), and price impact is proportional to the square of the current stock price and inversely proportional to current wealth, t = λS2t /Xθ t as in Guasoni and Weber (2014, 2017).”