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ON TRANSACTION COSTS IN STOCK TRADING

100%

Kociński M. A.

Metody Ilościowe w Badaniach Ekonomicznych

2017

vol. 18

issue 1

58-67

Liquidity is an important characteristic of a stock traded on the stock exchange. The expected value of transaction costs, which takes into account the transaction's volume and duration, may be a considered as an important measure of a liquidity of a traded stock. In this paper the formulas for expected transaction cost, caused by bid-ask spread and market impact are presented. Moreover, in this article, the problem of determining a duration of a transaction of a stock sale which minimizes the transaction cost and takes into account the forecast of the expected stock price on the stock exchange, is considered.

ON STOCK TRADING WITH STOCK PRICE DRIFT AND MARKET IMPACT

100%

Kociński M. A.

Metody Ilościowe w Badaniach Ekonomicznych

2018

vol. 19

issue 4

388-397

The drift in the stock price and the occurring of the transaction costs in the stock market can significantly affect the profitability of the investment in the stock. In the article the model of the market is described with the stock price drift and two sources of the transaction costs: bid-ask spread and market impact. In the considered model, the trading strategy which maximizes the expected amount of money received from selling the shares of the stock of the market participant subject to the constraint of the constant trading velocity is explicitly determined. The numerical example is also included.

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2 Metody Ilościowe w Badaniach Ekonomicznych

2 Kociński M. A.

1 2018

1 2017

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ON TRANSACTION COSTS IN STOCK TRADING

ON STOCK TRADING WITH STOCK PRICE DRIFT AND MARKET IMPACT