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Competition among trading platforms has considerably reduced trading fees in stock markets. We show that this evolution is not necessarily beneficial to investors. Obviously it increases gains from trade when a trade happens. Less obviously, it can induce investors to post limit orders with a...
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, whereas price impact models quantify trading costs. This paper studies what happens when trades are based on an incorrect … these misspecification costs and illustrate them on proprietary trading data. The misspecification costs are naturally …
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