Transaction costs and iceberg costs

Kjell Hausken; Galina A. Schwartz

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Transaction costs and iceberg costs

机译：交易成本和冰山成本

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摘要

Iceberg costs are modelled as a transaction cost function, which increases exponentially in an action chosen by each player. The model estimates how much the players' joint ex post shares shrink in terms of their transaction constants and production.

机译：冰山成本被建模为交易成本函数，该函数在每个参与者选择的动作中成倍增加。该模型估计参与者的交易后共同股份在交易常数和产量方面减少了多少。

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《Applied financial letters》 |2011年第3期|p.101-102|共2页
作者
Kjell Hausken; Galina A. Schwartz;
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作者单位

Faculty of Sciences, University of Stavanger, Norway, Stavanger N-4036,Norway;

University of California, Berkeley, CA 94720-3840, USA;

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正文语种 eng
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5. Power, conflict, norms, and transaction costs: A synthetic transaction cost analysis of discrete and relational exchange behavior between channel members. [D] . Nine, Thomas Michael. 1993

机译：权力，冲突，规范和交易成本：渠道成员之间离散和关系交换行为的综合交易成本分析。
6. Tip of the Iceberg: Assessing the Global Socioeconomic Costs of Alzheimer’s Disease and Related Dementias and Strategic Implications for Stakeholders [O] . Youssef H. El-Hayek, Ryan E. Wiley, Charles P. Khoury, -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％。

Transaction costs and iceberg costs

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