estimated slippage in percentage terms

Discussion in 'Trading' started by ChrisMMM, Apr 21, 2007.

  1. RAZ0R99


    #11     Apr 22, 2007
  2. Eric,
    thank you very much this is exactly what I was looking for
    #12     Apr 22, 2007

  3. How exactly have you developed a,b,c? On top of the head?????
    #13     Apr 22, 2007
  4. every once in a while someone posts a market order disaster story here.. go read some of those.
    #14     Apr 22, 2007
  5. Sorry... I reread my preceding post and the example is wrong. To answer your question, the parameters are estimated with a linear least squares regression. Since the OP already found the answer he was looking for, PM me if you want to chat about this in detail.
    #15     Apr 22, 2007