Transaction Cost Analysis A-Z

Transaction Cost Analysis A-Z — November 2008

References

• Almgren, R., and N. Chriss. 2000. Optimal execution of portfolio transactions. Journal of Risk 3(2): 5–39. •  Boussema, M., A. Bueno and P. Sequier. 2001. Transaction costs and trading strategies: an empirical analysis on global equity markets. Working paper. • —. 2002. Transaction costs and trading strategies. In Best execution: executing transactions in security markets on behalf of investors . European Asset Management Association. •  Copeland, T., and D. Galai. 1983. Information effects and the bid-ask spread. Journal of Finance 38: 1457-69. • Demsetz, H. 1968. The cost of trading. Quarterly Journal of Economics 82: 33-53. • D’Hondt, C., and J.-R. Giraud. 2007. MiFID: the (in)famous European directive? EDHEC Position Paper (March). • Domowitz, I., J. Glen and A. Madhavan. 2001. Global equity trading costs. Research paper, Investment Technology Group. • Giraud, J.-R. 2004. Best execution for buy-side firms: a challenging Issue, a promising debate, a regulatory challenge. European Survey on Investment Managers’ Practices (June). • Harris, L. 2003. Trading & exchanges: market microstructure for practitioners . New York: Oxford University Press. • Ho, T., and H. Stoll. 1981. Optimal dealer pricing under transactions and return uncertainty. Journal of Financial Economics 9: 47-73. •  Karceski, J., M. Livingston, and E. O'Neal. 2004. Portfolio Transaction Costs at U.S. Equity Mutual Funds. ZAG comissionned study. •  Kissell, R., and M. Glantz (2003), Optimal trading strategies ." New York, AMACOM. • Munck, N. H. 2005. When transactions went high-tech: a cross-sectional study of equity trading costs in the light of more sophisticated trading systems. SSRN working paper. • Nevmyvaka, Y., M. Kearns, A. Papandreou and K. Sycara. 2005. Electronic trading in order-driven markets: efficient execution. Working paper. •  Perold, A. F. 1988. The implementation shortfall: paper versus reality. Journal of Portfolio Management 14: 4-9.

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An EDHEC Risk and Asset Management Research Centre Publication