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We offer our market-impact model through
a stand-alone library. It is very important that transaction-costs
be taken into account during portfolio construction or
rebalance. Our market-impact models allow you to evaluate
various execution scenarios and may be included in a number
of different ways into your portfolio construction process.
An important distinguishing feature of our market-impact
models is that the assumptions underlying the models take
into account the ‘real-world’ (e.g. no normal
distributions etc.) and in addition the prediction results
are tested against tens of thousands of actual orders.
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