Turning Point For Trading Costs

TOM GROENFELDT

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Turning Point For Trading Costs

机译：交易成本的转折点

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Equity markets have exploded in recent years, not just in share and order volumes but also in the number of trading venues. That's a mixed blessing for the institutional investors that have supported the formation of dozens of alternative sites now challenging the dominance of traditional, established exchanges: The competition puts downward pressure on the costs of executing big institutional trades but has vastly complicated the process of deciding where to go for the fastest and cheapest transaction. For the better part of a decade, technology has solved that "best execution" puzzle - and with ever-increasing effectiveness. Sophisticated algorithms now require mere microseconds to size up conditions and identify market centers ripe for a trade. Then they set a series of transactions in motion through high-speed order-routing and execution management systems to exchanges and other trading platforms the world over; these in turn continually upgrade their infrastructures to accommodate the growing, algorithm-fueled demand.

机译：近年来，股票市场爆炸式增长，不仅在股票数量和订单量上，而且在交易场所数量上也是如此。对于支持建立数十个替代地点的机构投资者来说，这是好坏参半，现在正挑战传统的既有交易所的主导地位：竞争给执行大型机构交易的成本带来了下行压力，但决定地点的过程却大大复杂化了。去进行最快和最便宜的交易。在过去的十年中，技术已经解决了“最佳执行”难题，并且效率不断提高。复杂的算法现在仅需几微秒即可确定条件并确定交易成熟的市场中心。然后，他们通过高速的定单发送和执行管理系统，将一系列交易启动，运往世界各地的交易所和其他交易平台；这些反过来又会不断升级其基础架构，以满足不断增长的算法驱动的需求。

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《Institutional investor》 |2008年第10期|p.82-83|共2页
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TOM GROENFELDT;
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4. Tariff Equivalent of Technical Barriers to Trade with Imperfect Substitution and Trade Costs [C] . Chengyan Yue, John Beghin, Helen H. Jensen Conference of the European Association of Agricultural Economists . 2005

机译：关税相当于与不完美替代和贸易成本交易的技术障碍
5. Trade Costs and Quality: Issues in International Trade. [D] . Tseng, Eric. 2016

机译：贸易成本与质量：国际贸易中的问题。
6. What are the costs of learning? Modest trade-offs and constitutive costs do not set the price of fast associative learning ability in a parasitoid wasp [O] . Maartje Liefting, Jessica L. Rohmann, Cécile Le Lann, -1

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7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

Turning Point For Trading Costs

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