October - 2019
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Balázs Székely

received his PhD in Mathematics in 2005 from Budapest University of Technology and Economics (BUTE). He was assistant professor in the same institution until 2011, where he conducted research in stochastic processes and telecommunications as a member of High Speed Networks Lab, BUTE. In 2011 he joined the Research Team of MSCI, where he has been working on liquidity modeling.

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MSCI Equity Market Impact Model

We present a new market impact model, built upon minimal model assumptions. For a given stock, the model provides transaction cost estimates for given order size and time horizon, which may range from one day to several weeks. The model exhibits a linear dependence between transaction cost and order size for fixed time horizon, as observed from empirical data on this time scale. The model also provides stock-specific estimates of market depth and of transaction cost error. All the parameters of the model are regressed versus stocks’ observable properties (like capitalization, volatility, daily volume, etc.) allowing to track the causes of the level of liquidity of a given stock.

Last modified: 2018.11.30.