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Implicit transaction cost management using intraday price dynamics

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  • Mazza, Paolo
  • Petitjean, Mikael

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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Suggested Citation

  • Mazza, Paolo & Petitjean, Mikael, 2018. "Implicit transaction cost management using intraday price dynamics," LIDAM Reprints LFIN 2018008, Université catholique de Louvain, Louvain Finance (LFIN).
    • Handle: RePEc:ajf:louvlr:2018008
    Note: In : Applied Economics, Vol. 50, no. 39, p. 4264-4274 (2018)
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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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