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has been cited by the following article:

• TITLE: The Dynamics of Implicit Transactions Costs

  AUTHORS: Ming Guo

  KEYWORDS: Tick-by-Tick Data, Market Impact Cost, Proportional Cost, Fixed Cost

  JOURNAL NAME: Journal of Mathematical Finance, Vol.10 No.4, November 27, 2020

  ABSTRACT: We use tick-by-tick data to study the dynamics of different components of implicit trading costs, including market impact cost, proportional cost, and fixed cost, over a decade. We model the proportional cost and the fixed cost as compensation for an affine structure of trading costs faced by the market maker. We find that the market impact cost remains stable over time, whereas the fixed cost and the proportional cost decrease significantly over time. We also find that the fixed cost is generally not equal to zero. Surprisingly, it goes negative lately.