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Implicit transaction cost management using intraday price dynamics

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  • Paolo Mazza
  • Mikael Petitjean

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.

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  • Paolo Mazza & Mikael Petitjean, 2018. "Implicit transaction cost management using intraday price dynamics," Applied Economics, Taylor & Francis Journals, vol. 50(39), pages 4264-4274, August.
    • Handle: RePEc:taf:applec:v:50:y:2018:i:39:p:4264-4274
    DOI: 10.1080/00036846.2018.1441523
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    Cited by:

    1. Paolo Mazza & Mikael Petitjean, 2019. "Testing the effect of technical analysis on market quality and order book dynamics," Applied Economics, Taylor & Francis Journals, vol. 51(18), pages 1947-1976, April.

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