Chapter 20: Strategy Synthesis
Instrument-Appropriate Transaction Cost Models intermediate
The first question in transaction-cost modeling is not “how many basis points?” but “basis points of what?”
The first question in transaction-cost modeling is not “how many basis points?” but “basis points of what?”
Register to Read
Sign up for a free account to access all 112 primer topics.
Create Free AccountAlready have an account? Sign in
References
Continuous Auctions and Insider Trading
Albert S. Kyle
(1985)
— Econometrica
Market Microstructure: A Practitioner's Guide
Ananth Madhavan
(2002)
— Financial Analysts Journal
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
Market Impact Decay and Capacity
Hector Chan
(2022)
— The Journal of Portfolio Management
Momentum investing: A survey
Laurens Swinkels
(2004)
— Journal of Asset Management
A Practitioner Perspective on Trading and the Implementation of Investment Strategies
Joseph A. Cerniglia, Frank J. Fabozzi
(2022)
— The Journal of Portfolio Management
Optimal execution of portfolio transactions
Robert Almgren, Neil Chriss
(2001)
— The Journal of Risk
Trading Costs
Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz
(2018)
Understanding FX Liquidity
Nina Karnaukh, Angelo Ranaldo, Paul Söderlind
(2015)