Research and publications
Fairness in Trading — A Microeconomic Interpretation
We show that non-linear transaction costs generate external effects between accounts due to trade volume dependent marginal transaction costs. For an asset manager with multiple clients this raises the question of fairness. How do I ensure I treat all clients fairly? In general, two possible solutions exist. A revisited version of this paper was published in the Winter 2010 issue of the Journal of Trading.
Author(s):
Stephen Satchell, Bernhard Scherer
Summary:
We show that non-linear transaction costs generate external effects between accounts due to trade volume dependent marginal transaction costs. For an asset manager with multiple clients this raises the question of fairness. How do I ensure I treat all clients fairly? In general, two possible solutions exist. A revisited version of this paper was published in the Winter 2010 issue of the Journal of Trading.
Register to download PDF
Register/Log in| Type : | Working paper |
|---|---|
| Date : | 18/11/2009 |
| Keywords : |
Transaction Cost Analysis |
About EDHEC
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