On Linearity of Transaction Costs in Order Driven Market

Keywords

Order (exchange), Linearity, Transaction cost, Business, Econometrics

References

• Portfolio Selection and Transactions CostsMichael J. Best, Jaroslava Hlouskova — 2003
• Continuous martingales and Brownian motionDaniel Revuz, Marc Yor — 1990
• The History of the Concept of Transaction Costs: Neglected AspectsMatthias Klaes — 2000
• Optimal Investment and Consumption with Transaction CostsSteven E. Shreve, H. Meté Soner — 1994
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costsNils Chr. Framstad, Bernt Øksendal, Agnès Sulem — 2001
• Bid, ask and transaction prices in a specialist market with heterogeneously informed tradersLawrence R. Glosten, Paul Milgrom — 1985
• Multiperiod Consumption and Investment Behavior with Convex Transactions CostsGeorge M. Constantinides — 1979
• Portfolio selection with transactions costsMichael Magill, George M. Constantinides — 1976
• Continuous Auctions and Insider TradingAlbert S. Kyle — 1985
• The Rationale of the Demand for Money and of ‘Money Illusion’Jacob Marschak — 1950
• Optimal Execution in a General One-Sided Limit-Order BookSilviu Predoiu, Gennady Shaikhet, Steven E. Shreve — 2011
• Capital Market Equilibrium with Transaction CostsGeorge M. Constantinides — 1986
• A model of optimal portfolio selection under liquidity risk and price impactVathana Ly Vath, Mohamed Mnif, Huyên Pham — 2006
• Optimal execution strategies in limit order books with general shape functionsAurélien Alfonsi, Antje Fruth, Alexander Schied — 2007
• Portfolio Selection with Transaction CostsMark H. Davis, A. R. Norman — 1990
• Optimal Portfolio Selection Under Concave Price ImpactJin Ma, Qingshuo Song, Jing Xu — 2012
• The Cost of Institutional Equity TradesDonald B. Keim, Ananth Madhavan — 1998
• Risk Management Lessons from Long-Term Capital ManagementPhilippe Jorion — 2000
• Statistical properties of stock order books: empirical results and modelsJean‐Philippe Bouchaud, Marc Mézard, Marc Potters — 2002
• An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris BourseBruno Biais, Pierre Hillion, Chester S. Spatt — 1995

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