Implicit transaction cost management using ...
Type de document :
Compte-rendu et recension critique d'ouvrage
Titre :
Implicit transaction cost management using intraday price dynamics
Auteur(s) :
Mazza, Paolo [Auteur]
Lille économie management - UMR 9221 [LEM]
Petitjean, Mikael [Auteur]
Lille économie management - UMR 9221 [LEM]
Lille économie management - UMR 9221 [LEM]
Petitjean, Mikael [Auteur]
Lille économie management - UMR 9221 [LEM]
Titre de la revue :
Applied Economics
Pagination :
4264-4274
Éditeur :
Taylor & Francis (Routledge)
Date de publication :
2018-02-23
ISSN :
0003-6846
Mot(s)-clé(s) en anglais :
XLM
transaction costs
liquidity
execution
transaction costs
liquidity
execution
Discipline(s) HAL :
Sciences de l'Homme et Société/Gestion et management
Résumé en anglais : [en]
Using the Exchange Liquidity Measure, we show that implicit transaction costs exhibit intraday regularities around specific price change signals for a sample of European blue chips publicly quoted on Euronext. Not only ...
Lire la suite >Using the Exchange Liquidity Measure, we show that implicit transaction costs exhibit intraday regularities around specific price change signals for a sample of European blue chips publicly quoted on Euronext. Not only transaction costs follow a reverse J-shape throughout the day but they also decrease significantly around specific patterns of price dynamics. By focusing on these signals during the trading day, liquidity traders may detect intraday windows of opportunities during which implicit transaction costs are lower.Lire moins >
Lire la suite >Using the Exchange Liquidity Measure, we show that implicit transaction costs exhibit intraday regularities around specific price change signals for a sample of European blue chips publicly quoted on Euronext. Not only transaction costs follow a reverse J-shape throughout the day but they also decrease significantly around specific patterns of price dynamics. By focusing on these signals during the trading day, liquidity traders may detect intraday windows of opportunities during which implicit transaction costs are lower.Lire moins >
Langue :
Anglais
Vulgarisation :
Non
Collections :
Source :