Execution costs in financial markets with several institutional investors

Authors:
Somayeh Moazeni;Yuying Li;Kate Larson
Affiliations:
University of Waterloo, Waterloo, ON, Canada;University of Waterloo, Waterloo, ON, Canada;University of Waterloo, Waterloo, ON, Canada
Venue:
FEA '07 Proceedings of the Fourth IASTED International Conference on Financial Engineering and Applications
Year:
2007

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Abstract

We examine certain Generalized Hyperbolic (GH) distributions for modeling equity returns, compared to usual Normal distributions. We describe these GH distributions and some of their properties, and test them against six years of daily ...