Resilient price impact of trading and the cost of illiquidity

Keyphrases

• Resilience 100%
• Resilient 100%
• Illiquidity 100%
• Price Impact 100%
• Liquidity Cost 66%
• Risk Impact 33%
• Reduced Model 33%
• Utility Maximization Problem 33%
• Liquidity 33%
• Arbitrage-free 33%
• Asset Pricing 33%
• Bid-ask Spread 33%
• Liquidity Risk 33%
• Pricing Formulae 33%
• Singh 33%
• Limit Order Book 33%
• Illiquidity Costs 33%
• Proportional Cost 33%
• Amihud 33%
• Arbitrage Pricing 33%
• Stochastic Discount Factor 33%

Mathematics

• Arbitrage 100%
• Stochastics 50%
• Utility Maximization 50%
• Limiting Case 50%
• Reduced Model 50%
• Discount Factor 50%
• Liquidity Risk 50%

Economics, Econometrics and Finance

• Arbitrage Pricing 100%