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Modelling Transaction Costs when Trades May Be Crowded: A Bayesian Network Approach

Brière, Marie; Lehalle, Charles Albert; Nefedova, Tamara; Raboun, Amine (2019), Modelling Transaction Costs when Trades May Be Crowded: A Bayesian Network Approach, International Conference on Fintech & Financial Data Science, 2019-09, Dublin, Ireland

Type
Communication / Conférence
Date
2019
Conference title
International Conference on Fintech & Financial Data Science
Conference date
2019-09
Conference city
Dublin
Conference country
Ireland
Metadata
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Author(s)
Brière, Marie
Laboratoire d'Economie de Dauphine [LEDa]
Lehalle, Charles Albert
Department of Mathematics [Imperial College London]
Nefedova, Tamara
Dauphine Recherches en Management [DRM]
Raboun, Amine
Université Paris sciences et lettres [PSL]
Subjects / Keywords
Trading Costs; Liquidity
JEL
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies; Insider Trading