Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment
نویسندگان
چکیده
منابع مشابه
Futures trading with transaction costs
A model for optimal consumption and investment is posed whose solution is provided by the classical Merton analysis when there is zero transaction cost. A probabilistic argument is developed to identify the loss in value when a proportional transaction cost is introduced. There are two sources of this loss. The first is a loss due to “displacement” that arises because one cannot maintain the op...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1108693