All Questions
Tagged with liquidity transaction-costs
4 questions
0
votes
1
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145
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Why is the half spread considered the transaction cost?
I know there are other questions that address this, but I'm a little confused on the intuition.
For ex, say bid is 100, the weighted mid is 100.4, and the ask is 101. I want to sell now, so I aggress ...
- 1
3
votes
1
answer
1k
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Intraday versus daily volatility in slippage estimation
On page 21 of http://www.cims.nyu.edu/~almgren/papers/costestim.pdf Almgren has the formula
$\displaystyle{\text{Slippage} = \frac{1}{2}\gamma\sigma\frac{X}{V}\left(\frac{\Theta}{V}\right)^{\frac{1}{...
- 249
7
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3
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991
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Transaction Costs for Currency Pairs
I have been aggregating some tick data from Oanda's streaming API to try and get an idea of the relative cost and best time to trade different currency pairs. The idea was to plot the spread of the ...
- 235
0
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1
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130
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Liquidity and Prices
Do fewer transaction costs and higher liquidity relate to lower market prices? Are there any good resources that deal with these topics in more detail?
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