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The Dynamics of Implicit Transactions Costs
Ming Guo 2020-12-21
We use tick-by-tick data to study the dynamics of different components of implicit trading costs, including market impact cost, proportional cost, and fixed cost, over a decade. We model the proportional cost and the fixed cost as compensation for an affine structure of trading costs faced by the market maker. We find that the market impact cost remains stable over time, whereas the fixed cost and the proportional cost decrease significantly over time. We also find that the fixed cost is generally not equal to zero. Surprisingly, it goes negative lately.
이전글 | The Impact of Corporate Social Network on Innovation: A Mediation Analysis of Agency Costs and Financial Constraints | 2020-12-21 |
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다음글 | 中国信息消费发展态势报告(2020年) | 2020-12-21 |