The slippage paradox

Abstract : Buying or selling assets leads to transaction costs for the investor. On one hand, it is well know to all market practionaires that the transaction costs are positive on average and present therefore systematic loss. On the other hand, for every trade, there is a buy side and a sell side, the total amount of asset and the total amount of cash is conserved. I show, that the apparently paradoxical observation of systematic loss of all participants is intrinsic to the trading process since it corresponds to a correlation of outstanding orders and price changes.
Type de document :
Pré-publication, Document de travail
2011
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https://hal.archives-ouvertes.fr/hal-00574268
Contributeur : Steffen Bohn <>
Soumis le : jeudi 10 mars 2011 - 09:58:44
Dernière modification le : mercredi 12 octobre 2016 - 01:04:37
Document(s) archivé(s) le : mardi 6 novembre 2012 - 15:57:11

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SlippP006.pdf
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  • HAL Id : hal-00574268, version 1
  • ARXIV : 1103.2214

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UPMC | INSMI | PMA | USPC

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Steffen Bohn. The slippage paradox. 2011. <hal-00574268>

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