Prediction mining in the market impact cost of securities investment

Abstract

Transaction cost plays an important role in the return on investment of the stock market. Market impact cost, one of the important components of transaction cost, is analyzed in this paper. A prediction model of market impact cost is proposed which can improve trading strategies, reduce total transaction costs, and boost investors' returns. It is verified that the cost prediction model has better performance in both simulation environments and practical applications. © 2011 Springer-Verlag Berlin Heidelberg.