Are trading invariants really invariant? Trading costs matter-Reference-Cited by-同舟云学术

Are trading invariants really invariant? Trading costs matter

Published:2020-04-07 Issue:7 Volume:20 Page:1059-1068
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bucci Frédéric¹²,Lillo Fabrizio³⁴^ORCID,Bouchaud Jean-Philippe⁵⁶²,Benzaquen Michael⁵⁷²^ORCID

Affiliation:

1. Scuola Normale Superiore di Pisa, Piazza dei Cavalieri, Pisa 56126, Italy

2. Chair of Econophysics and Complex Systems, Ecole polytechnique, Palaiseau Cedex 91128, France

3. Department of Mathematics, Università di Bologna, Piazza di Porta San Donato 5, Bologna 40126, Italy

4. CADS, Human Technopole, Milan, Italy

5. Capital Fund Management, 23 rue de l'Université, Paris 75007, France

6. CFM-Imperial Institute of Quantitative Finance, Department of Mathematics, Imperial College, 180 Queen's Gate, SW7 2RH London, UK

7. Ladhyx UMR CNRS 7646 & Department of Economics, Ecole Polytechnique, Palaiseau Cedex 91128, France

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1741667

Reference27 articles.

1. Intraday Trading Invariance in the E-Mini S&P 500 Futures Market

2. Bae, K.h., Kyle, A.S., Lee, E.J. and Obizhaeva, A.A., Invariance of buy-sell switching points. Robert H. Smith School Research Paper No. RHS, 2730770, 2016.

3. Unravelling the Trading Invariance Hypothesis

4. Trades, Quotes and Prices

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