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Engle et al., 2006 - Google Patents

Measuring and modeling execution cost and risk

Engle et al., 2006

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Document ID
16982472349455850528
Author
Engle R
Ferstenberg R
Russell J
Publication year

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Snippet

We introduce a new analysis of transaction costs that explicitly recognizes the importance of the timing of execution in assessing transaction costs. Time induces a risk/cost tradeoff. The price of immediacy results in higher costs for quickly executed orders while more gradual …
Continue reading at archive.nyu.edu (PDF) (other versions)

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