6533b85cfe1ef96bd12bc880
RESEARCH PRODUCT
Transaction Costs and Returns to a Trading Strategy
Valeriy Zakamulinsubject
Transaction costAlternative trading systemFinancial assetFinancial economicsPairs tradecomputer.software_genreElectronic tradingMicroeconomicsComputingMilieux_COMPUTERSANDSOCIETYTrading strategyBusinessAlgorithmic tradingCapital marketcomputerdescription
This chapter starts with a review of transaction costs in capital markets. Then it demonstrates how to simulate the returns to a moving average trading strategy in the presence of transaction costs. The following two cases are considered when a trading indicator generates a sell signal: case one where the trader switches to cash, and case two where the trader alternatively sells short a financial asset.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2017-01-01 |