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Marek Kociński


Liquidity is an important characteristic of a stock traded on the
stock exchange. The expected value of transaction costs, which takes into
account the transaction's volume and duration, may be a considered
as an important measure of a liquidity of a traded stock. In this paper the
formulas for expected transaction cost, caused by bid-ask spread and market
impact are presented. Moreover, in this article, the problem of determining
a duration of a transaction of a stock sale which minimizes the transaction
cost and takes into account the forecast of the expected stock price on the
stock exchange, is considered

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Kociński, M. (2022). ON TRANSACTION COSTS IN STOCK TRADING. Metody Ilościowe W Badaniach Ekonomicznych, 18(1), 58 –. https://doi.org/10.22630/MIBE.2017.18.1.06

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