The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a universal...
Hedge funds and investors are keen to cut transaction costs, putting banks as well as brokers under pressure. Smaller funds are also looking at alternative broking arrangements to minimise costs
More Transaction costs articles
A mean-reverting financial instrument is optimally traded by buying it when it is sufficiently below the estimated ‘mean level’ and selling it when it is above. In the presence of linear transaction costs, a large amount of value is paid away crossing...
With increased use of nuclear energy currently the EU’s most likely route to ensuing both security of supply and low carbon emissions, Alex Davis examines the impact such a policy could have for energy risk managers
BP’s Gulf of Mexico oil spill forces risk managers to look at long-term margin costs and soaring oil prices post-2012
A new study looking at reverse convertibles in the Dutch market, one of the most developed in the world, has concluded that plain vanilla and knock-in reverse convertible bonds are, on average, overpriced by almost 6%. Overpricing persisted for almost...
Many of our readers have requested more technical articles on liquidity. Here, we obligewith two ground-breaking papers. The first, by Robert Almgren and Neil Chriss, shows howtraders can account for both liquidity and transaction costs in a portfolio...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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