Cost of Trading

The cost of Trading is a proxy for an illiquid market. Is given by an explicit and an implicit component. The former one includes broker commissions, platforms' trading fees, transaction taxes, clearing and settlement fees, (all charged to final investors). The latter component is determined by an implicit illiquidity of the market measured by a gap between execution price and some benchmark used to proxy for the price in a perfectly liquid market (when available, the midquote at execution is used). 


Editor: Maria Francesca Nuzzo