On transaction costs in stock trading
On transaction costs in stock trading

Summary/Abstract: Liquidity is an important characteristic of a stock traded on the stock exchange. The expected value of transaction costs, which takes into account the transaction's volume and duration, may be a considered as an important measure of a liquidity of a traded stock. In this paper the formulas for expected transaction cost, caused by bid-ask spread and market impact are presented. Moreover, in this article, the problem of determining a duration of a transaction of a stock sale which minimizes the transaction cost and takes into account the forecast of the expected stock price on the stock exchange, is considered.

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