Trading Costs

Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz · 2018 · Working paper (SSRN)

IntermediateLFTEmpiricalFree to read

Real execution costs from a large asset manager's live trades are far below the academic estimates, so more anomalies survive costs than commonly assumed.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: LFT
Data needed: Trades Set what data you have
Themes: Execution Price impact
Assets: Equities
Market: US, Europe

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Execution and price impact

← Optimal order placement in limit order markets

Cite

@misc{frazzini2018trading,
  author = {Frazzini, Andrea and Israel, Ronen and Moskowitz, Tobias J.},
  title = {{Trading Costs}},
  howpublished = {Working paper (SSRN)},
  year = {2018},
  doi = {10.2139/ssrn.3229719}
}

Frazzini, A., Israel, R., & Moskowitz, T. J. (2018). Trading Costs. Working paper (SSRN). https://doi.org/10.2139/ssrn.3229719