Trading Costs: Spread, Slippage, and Market Impact foundational
How execution costs arise, why the components are different, and how turnover turns a predictive signal into a net strategy.
How execution costs arise, why the components are different, and how turnover turns a predictive signal into a net strategy.
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References
Continuous Auctions and Insider Trading
Albert S. Kyle
(1985)
— Econometrica
Extending the Fundamental Law of Investment Management
Danielle Trichilo, Jeffrey L. Braun
(2005)
Trading Costs
Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz
(2018)