Are trading invariants really invariant? Trading costs matter

DOI10.1080/14697688.2020.1741667zbMath1454.91241arXiv1902.03457OpenAlexW3016165391MaRDI QIDQ5139213

Frédéric Bucci, Jean-Philippe Bouchaud, Michael Benzaquen, Fabrizio Lillo

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.03457

zbMATH Keywords

stockstrading costsmetaorderstrading invariance

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?

Cites Work

• Estimating variance from high, low and closing prices
• Theoretical and empirical analysis of trading activity
• Relation between bid–ask spread, impact and volatility in order-driven markets
• Market Microstructure Invariance: Empirical Hypotheses
• Co-impact: crowding effects in institutional trading activity

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