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Predicting Market Impact Costs Using Nonparametric Machine Learning Models
Market impact cost is the most significant portion of implicit transaction costs that can reduce the overall transaction cost, although it cannot be measured directly. In this paper, we employed the state-of-the-art nonparametric machine learning models: neural networks, Bayesian neural network, Gau...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2016
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4771170/ https://www.ncbi.nlm.nih.gov/pubmed/26926235 http://dx.doi.org/10.1371/journal.pone.0150243 |