Implicit transaction cost management using intraday price dynamics

Paolo Mazza and Mikael Petitjean

Applied Economics, 2018, vol. 50, issue 39, 4264-4274

Abstract: Using the Exchange Liquidity Measure, we show that implicit transaction costs exhibit intraday regularities around specific price change signals for a sample of European blue chips publicly quoted on Euronext. Not only transaction costs follow a reverse J-shape throughout the day but they also decrease significantly around specific patterns of price dynamics. By focusing on these signals during the trading day, liquidity traders may detect intraday windows of opportunities during which implicit transaction costs are lower.

Date: 2018
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Working Paper: Implicit transaction cost management using intraday price dynamics (2018)
Working Paper: Implicit transaction cost management using intraday price dynamics (2018)
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DOI: 10.1080/00036846.2018.1441523

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