A review of trading cost models: Reducing transaction costs
A Freyre-Sanders, R Guobuzaite… - The Journal of Investing, 2004 - pm-research.com
Over the last few years, transaction cost analysis has been one of the biggest areas of
investment for both the buy and sell side of the equity industry. This increased focus has led to …
investment for both the buy and sell side of the equity industry. This increased focus has led to …
A Review of Trading Cost Models: Reducing Transaction Costs
A Freyre-Sanders, R Guobuzaite… - The Journal of Trading …, 2005 - pm-research.com
Over the last few years, transaction cost analysis has been one of the biggest areas of
investment for both the buy and sell side of the equity industry. This increased focus has led to …
investment for both the buy and sell side of the equity industry. This increased focus has led to …
[PDF][PDF] Is Taiwan's first exchange traded fund efficient'
A Lin, FJ Meng - Journal of Financial Studies, 2004 - Citeseer
… of risk controlled investment building blocks to any strategy (Freyre-Sanders et al., 2001). …
, but investors also can enjoy the opportunity of higher returns (Freyre-Sanders et al., 2001). …
, but investors also can enjoy the opportunity of higher returns (Freyre-Sanders et al., 2001). …
The best hedging strategy in the presence of transaction costs
V Zakamouline - International Journal of Theoretical and Applied …, 2009 - World Scientific
Considerable theoretical work has been devoted to the problem of option pricing and hedging
with transaction costs. A variety of methods have been suggested and are currently being …
with transaction costs. A variety of methods have been suggested and are currently being …
Cash equity transaction cost analysis: State of the art… and beyond
C D'Hondt, JR Giraud - Journal of Asset Management, 2006 - Springer
… Freyre-Sanders et al. (2004) offers a very complete description of the implicit transaction
cost … Some modified versions of the basic implementation shortfall presented in Freyre-Sanders …
cost … Some modified versions of the basic implementation shortfall presented in Freyre-Sanders …
The real-life performance of market timing with moving average and time-series momentum rules
V Zakamulin - Journal of Asset Management, 2014 - Springer
In this article, we revisit the myths regarding the superior performance of market timing
strategies based on moving average and time-series momentum rules. These active timing …
strategies based on moving average and time-series momentum rules. These active timing …
[HTML][HTML] The pattern of intraday liquidity in emerging markets: The case of the Amman Stock Exchange
MF Alabed, R Al-Khouri - Journal of Derivatives & Hedge Funds, 2008 - Springer
This study provides an empirical analysis of several intraday liquidity dynamics for stocks
listed on the Amman Stock Exchange (ASE) using transaction data for the period from 1st …
listed on the Amman Stock Exchange (ASE) using transaction data for the period from 1st …
[CITATION][C] The future of algorithmic trading
RL Kissell, A Freyre-Sanders, C Carrie - 2005
[CITATION][C] A review of trading cost models
R Guobuzaite, K Byrne, A Freyre-Sanders - The Journal of Investing, 2004
[CITATION][C] An overview of the algorithmic trading process
R Kissell, A Freyre-Sanders - The Euromoney Equity Capital Markets Handbook, 2004