- Tytuł:
- ON TRANSACTION COSTS IN STOCK TRADING
- Autorzy:
- Kociński, Marek Andrzej
- Powiązania:
- https://bibliotekanauki.pl/articles/453668.pdf
- Data publikacji:
- 2017
- Wydawca:
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
- Tematy:
-
liquidity
transaction cost
bid-ask spread
market impact
trade duration - Opis:
- 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.
- Źródło:
-
Metody Ilościowe w Badaniach Ekonomicznych; 2017, 18, 1; 58-67
2082-792X - Pojawia się w:
- Metody Ilościowe w Badaniach Ekonomicznych
- Dostawca treści:
- Biblioteka Nauki
Artykuł