Lin, William; Sun, David; Tsai, Shih-Chuan - Volkswirtschaftliche Fakultät, … - 2010
We explore in this paper how trading noise, when considered as a market friction, reacts to trading activity … noise across investors and time of day makes it a specific, rather than general, transactions cost, as opposed to Stoll … more noise or friction in the market. Width and depth contribute to trading noise in a polarized way, so that individual …