A CENTURY OF STOCK MARKET LIQUIDITY AND TRADING COSTS [PDF 104k ](1374 hits) - The sum of half-spreads and one-way commissions, multiplied by annual
turnover, is an estimate of the annual proportional cost of aggregate equity trading.
URL: http://pricing.free.fr/docs/exec/jones.pdf - Wednesday, July 31st 2002
Automation, Trading Costs(994 hits) - Automation, Trading Costs, and the
Structure of the Securities Trading Industry. http://pricing.free.fr/docs/exec/4RIIA.pdf
URL: http://pricing.free.fr/docs/exec/4RIIA.pdf - Tuesday, July 30th 2002
Global Equity Trading Costs [PDF 48k](657 hits) - This article examines the magnitude and determinants of trading costs across 42
countries. Ian Domowitz. Understanding of the magnitude and determinants of global execution costs is important to practitioners
for several reasons. These include the prediction of trading costs, determining the effect of execution
costs on “live” portfolio performance, inter-market cost comparisons, and quantifying international di-versification
benefits.
URL: http://pricing.free.fr/docs/exec/globaleqcost.pdf - Tuesday, July 30th 2002
Mathematizing Risk [PDF 94k](870 hits) - Markets, Arbitrage and Crises
Donald MacKenzie
URL: http://pricing.free.fr/docs/exec/LSE.pdf - Tuesday, July 30th 2002
The Cross-Section of Daily Variation in Liquidity [PDF 310k](520 hits) - Analyze cross-sectional heterogeneity in the time-series variation of liquidity. Tarun Chordia.
URL: http://pricing.free.fr/docs/exec/lshivkumar.pdf - Tuesday, July 30th 2002
Transaction Costs and Market Efficiency [PDF 187k](1074 hits) - We show that such a decline will introduce increasingly uninformed consumers into established markets.
URL: http://pricing.free.fr/docs/exec/tcme.pdf - Tuesday, July 30th 2002
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