{"created":"2023-06-20T13:03:44.074441+00:00","id":2287,"links":{},"metadata":{"_buckets":{"deposit":"1bda8e3d-1a5b-4ce1-90f3-8c552b24b437"},"_deposit":{"created_by":10,"id":"2287","owners":[10],"pid":{"revision_id":0,"type":"depid","value":"2287"},"status":"published"},"_oai":{"id":"oai:osu.repo.nii.ac.jp:00002287","sets":["19","19:496","19:496:503"]},"author_link":["4217","4216"],"item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2020-10-31","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"1","bibliographicPageEnd":"17","bibliographicPageStart":"1","bibliographicVolumeNumber":"22","bibliographic_titles":[{"bibliographic_title":"大阪産業大学経済論集"},{"bibliographic_title":"OSAKA SANGYO UNIVERSITY JOURNAL OF ECONOMICS","bibliographic_titleLang":"en"}]}]},"item_10002_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"　We define three types of price models, which change prices in response to the trading volume, then compare the execution performance of each price model using the Time-Weighted Average Price （TWAP） round-trip strategy. The TWAP strategy is one of the simplest execution strategies and makes it easier to analyze the performance, but it is difficult to prove analytically when we deal with the multi-period execution problem because the effect of each trade remains on the price for a long time. Therefore, we numerically show the execution performance according to the previous empirical research and then illustrate the possibility of the price manipulation for a price model with log market impact and power resilience function. Moreover, we assume two trading venues, the exchange with market impact and the off-exchange without market impact. Under this setting, we calculate the off-exchange transaction fee using the TWAP round-trip trading benchmark.\n","subitem_description_type":"Abstract"}]},"item_10002_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"大阪産業大学学会"}]},"item_10002_source_id_11":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11394639","subitem_source_identifier_type":"NCID"}]},"item_10002_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"1345－1448","subitem_source_identifier_type":"ISSN"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"久納, 誠矢"},{"creatorName":"クノウ, セイヤ","creatorNameLang":"ja-Kana"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"KUNO, Seiya","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2021-05-06"}],"displaytype":"detail","filename":"001_017久納先生.pdf","filesize":[{"value":"2.3 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"001_017久納先生","url":"https://osu.repo.nii.ac.jp/record/2287/files/001_017久納先生.pdf"},"version_id":"6e0b81a9-792b-41e1-a44a-131db8c7abeb"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"アルゴリズム取引","subitem_subject_scheme":"Other"},{"subitem_subject":"機関投資家","subitem_subject_scheme":"Other"},{"subitem_subject":"TWAP取引","subitem_subject_scheme":"Other"},{"subitem_subject":"マーケット・インパクト","subitem_subject_scheme":"Other"},{"subitem_subject":"取引所外取引","subitem_subject_scheme":"Other"},{"subitem_subject":"Algorithmic trading","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"TWAP trading","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Institutional investor","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Market impact","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Off-exchange trading","subitem_subject_language":"en","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"TWAP戦略を用いたラウンド・トリップ取引","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"TWAP戦略を用いたラウンド・トリップ取引"},{"subitem_title":"Round-Trip Trade with TWAP Strategy","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"10","path":["19","496","503"],"pubdate":{"attribute_name":"公開日","attribute_value":"2021-05-06"},"publish_date":"2021-05-06","publish_status":"0","recid":"2287","relation_version_is_last":true,"title":["TWAP戦略を用いたラウンド・トリップ取引"],"weko_creator_id":"10","weko_shared_id":-1},"updated":"2023-10-24T01:35:21.208124+00:00"}