market impact

Discussion in 'Trading' started by ptunic, Mar 4, 2004.

  1. ptunic


    Hi all.
    I'm wondering which makets can be traded if you trade in large sizes.

    For example let's take a $100 million USD sized hedge fund or bank trading desk that on average makes trades of $20 million. In the case of options I'm just talking about the amount controlled, not the size of the premium. And let's assume the trades last just a week on average so even a 0.2% extra market impact spread would hurt returns. What markets are tradable?

    I'm assuming US stock markets even as big as Dow stocks are too small, as are stock options on individual stocks. That leaves currency, interest-rate, some indexes, and commodities as the tradable markets. Perhaps future options would be liquid enough as well. Any thoughts?