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Primary Article

A Review of Trading Cost Models

Reducing Transaction Costs

Andrew Freyre-Sanders, Renate Guobuzaite and Kevin Byrne
The Journal of Investing Fall 2004, 13 (3) 93-115; DOI: https://doi.org/10.3905/joi.2004.434557
Andrew Freyre-Sanders
A vice president in the Trading Analytics Group at JPMorgan Chase.
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  • For correspondence: andrew.freyre-sanders@jpmorgan.com
Renate Guobuzaite
A researcher at London Business School.
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  • For correspondence: renate_guobuzaite@ml.com
Kevin Byrne
A vice president in Transition Management at JPMorgan Chase.
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  • For correspondence: kevin.byrne@jpmorgan.com
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Abstract

Over the last few years, transaction cost analysis has been one of the biggest areas of investment for both the buy and sell side of the equity industry. This increased focus has led to intensification of research in this field. At the same time, there has been an enormous leap in the provision of tools to aid measuring and predicting costs. As a precursor to modeling transaction costs, we felt it would be useful to the reader to compile a literature review that takes the reader from the very early attempts of modeling market microstructure through to some techniques used today. Although many of the early (classical) studies may seem inappropriate to today's electronic order books, many of the concepts developed are still relevant at present. Until recently, the focus of the investment community has been on commissions, taxes, and spreads. In this article, we have not gone into any detail regarding these fixed costs, but we have focused on the so-called “hidden” costs of trading.

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A Review of Trading Cost Models
Andrew Freyre-Sanders, Renate Guobuzaite, Kevin Byrne
The Journal of Investing Aug 2004, 13 (3) 93-115; DOI: 10.3905/joi.2004.434557

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A Review of Trading Cost Models
Andrew Freyre-Sanders, Renate Guobuzaite, Kevin Byrne
The Journal of Investing Aug 2004, 13 (3) 93-115; DOI: 10.3905/joi.2004.434557
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