Sentences with phrase «way trading friction»

He assumes the investor is an institutional paying negligible broker fees and trading in small orders that do not move prices, such that one - way trading friction is the average bid - ask half - spread.

To test robustness of findings, they: (1) account for one - way trading frictions ranging from 0.02 % to 0.05 % across assets; (2) consider five subperiods to test consistency over time; and, (3) perform out - of - sample tests using the first part of each subperiod to select the best rules and roughly the last year to measure performance of these rules out - of - sample.

For all cases, they apply 0.1 % one - way trading frictions for portfolio changes.

They assume constant one - way trading frictions 0.1 %, acknowledging that this level may be too low for early years and too high for recent years.

Not exact matches

They ignore trading frictions, which involve a maximum of 104 one - way trades per year.