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Contingent claim valuation with penalty costs on short selling positions

Costa, O. L. V.; Queiroz Filho, E. V. - In: Computational finance and its applications II : [Second …, (pp. 151-160). 2006

Persistent link: https://www.econbiz.de/10003410132

Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations

Isaenko, Sergei - In: Quantitative finance 18 (2018) 12, pp. 2051-2065

Persistent link: https://www.econbiz.de/10012262965

Four essays on German stocks : returns, anomalies, and insider trading

Schmidt, Martin H. - 2016

Persistent link: https://www.econbiz.de/10011568964

Liquidity estimates and selection bias

Obizhaeva, Anna - 2012

Persistent link: https://www.econbiz.de/10011633483

Price effects of trading and components of the bid-ask spread on the Paris Bourse

Jong, Frank de; Nijman, Theodore E.; Röell, Ailsa - 1994

Persistent link: https://www.econbiz.de/10000894084

Transaction costs, liquidity and expected returns at the Berlin stock exchange, 1892-1913

Burhop, Carsten; Gelman, Sergey - 2010

We estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the...