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Implicit transaction cost management using intraday price dynamics

Archive ouverte : Article de revue

Mazza, Paolo | Petitjean, Mikael

Edité par HAL CCSD ; Taylor & Francis (Routledge)

International audience. Using the Exchange Liquidity Measure, we show that implicit transaction costs exhibit intraday regularities around specific price change signals for a sample of European blue chips publicly quoted on Euronext. Not only transaction costs follow a reverse J-shape throughout the day but they also decrease significantly around specific patterns of price dynamics. By focusing on these signals during the trading day, liquidity traders may detect intraday windows of opportunities during which implicit transaction costs are lower.

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