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1、RESEARCHINSIGHTSTheMarketImpactModel™NicoloG.Torre,Ph.D.MarkJ.Ferrari,Ph.D.REPRINTEDFROMHORIZON,THEBARRANEWSLETTERTheMarketImpactModel™NicoloG.Torre,Ph.D.MarkJ.Ferrari,Ph.D.NicoloTorreistheManagingDirector,ResearchatBARRA,whereheoverseesBARRA’sworldwideresearch.UnderNicolo’sleade
2、rship,BARRA’sresearchprogramcontinuestoemphasizeeconomicfundamentalsandinstitutionsoverblack-boxstatisticalapproaches.ACalifornianative,NicoloattendedHarvardCollege,wherehestudiedmathematicsandhistory.HereturnedtoCaliforniatoearnaPh.D.inPureMathematicsfromU.C.Berkeley.Oncompletin
3、gthedoctoralprogram,hejoinedBARRAin1990.Beyondtheclassroomandworkplace,Nicolodelightsinexploringthenaturalworld,andhasmadeanumberofextendedjourneys.MarkJ.FerrariisaSeniorManagerinInvestmentStrategiesResearchatBARRA.HewasinvolvedinthedesignandestimationofBARRA’sMarketImpactModel.M
4、arkhasalsocontributedtoBARRA’sresearcheffortsinconditionalvolatility,tradingsystems,industryallocation,andmarketsimulation.MarkreceivedhisB.S.inPhysicsfromYaleUniversityandhisPh.D.inPhysicsfromtheUniversityofCaliforniaatBerkeley.PriortojoiningBARRA,hewasaprincipalinvestigatoratBe
5、llLaboratories,wherehestudiedmagneticstructuresinsuperconductors.©1999BARRA,Inc.Copyright©1999BARRA,Inc.BARRAisaregisteredtrademarkandMarketImpactModelisatrademarkofBARRA,Inc.Allothercompany,organization,productorservicenamesreferencedhereinmaybetrademarksoftheirrespectiveowners.
6、Theinformationandopinionshereinprovidedbythirdpartieshavebeenobtainedfromsourcesbelievedtobereliable,butaccuracyandcompletenesscannotbeguaranteed.NoneoftheinformationoropinionshereinconstitutearecommendationorasolicitationbyBARRAorarecommendationorsolicitationthatanyparticularinv
7、estorshouldpurchaseorsellanyparticularsecurityinanyamount,oratall.Theinformationhereinisintendedforgeneraleducationonlyandnotasinvestment,taxorlegaladvice.Chartshereinareprovidedforillustrativepurposesonly.Neithersuchinformationnorsuchchartsareintendedforuseasabasisforinvestmentd
8、ecisions,norshouldtheybeconstruedasadvic
