Stochastic liquidity lets the impact parameters themselves change at random during the execution, as volume and depth do, so that the cost of trading now depends on the state of the market now.
Quantitative Finance · Begrippenlijst
Quantitative Finance · Begrippenlijst
Stochastic liquidity lets the impact parameters themselves change at random during the execution, as volume and depth do, so that the cost of trading now depends on the state of the market now.