ON TRANSACTION COSTS IN STOCK TRADING

• Authors: Kociński Marek Andrzej
• Languages of publication: EN

Abstracts

EN

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.

Keywords

EN

liquidity; transaction cost; bid-ask spread; market impact; trade duration

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2017
• Volume: 18
• Issue: 1
• Pages: 58-67

Contributors

author

Kociński Marek Andrzej

• Faculty of Applied Informatics and Mathematics, Warsaw University of Life Sciences – SGGW, Poland

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