GARVEY, Ryan; WU, Fei - In: Czech Journal of Economics and Finance (Finance a uver) 62 (2012) 6, pp. 505-517
The cost of trading in securities markets is often estimated on the basis of: 1. the number of shares executed rather than the number of shares in the original order; and 2. the quote midpoint at the time of trade execution rather than at the time of order submission. In our paper, we obtain...
