TRANSACTION COSTS FOR PROVIDING SERVICES TO A PARTICIPANT IN FOREIGN ECONOMIC ACTIVITY FOR CONNECTING TO THE ELECTRONIC DECLARATION SYSTEM OF THE FEDERAL CUSTOMS SERVICE OF RUSSIA

The essence of costs in the organizational interaction between participants of external economic activity and the market in the case of connection to the electronic Declaration system has been revealed. This type of cost is classified as transactional. The expenses faced by participants in foreign economic activity at the present time when connecting to the electronic Declaration system have been identified and disclosed. It has been found that the existence of intermediaries in the process of providing such services leads to transaction costs of an explicit type Seven groups of implicit transaction costs also have been highlighted. Various approaches to measuring transaction costs have been considered, a partial use of ordinalist and cardinalist approaches has been proposed.

Algorithmic Trading and Transaction Costs

“Algos” are algorithmic trading strategies that are meant to optimize the execution quality of the trades in terms of transaction costs and market-timing. This chapter presents the transaction costs taxonomy and popular algorithmic execution strategies. Authors empirically examine a dataset of hedge fund transactions. Our results suggest that implicit transaction costs are characterized by a significant buy-sell asymmetry. To get some insight about the possible determinants of Implicit Transaction Costs, authors investigate the algo type and stock characteristics such as market capitalization, relative volume, inverse prior close, price momentum, buy indicator and trade duration. Both in-sample and out-of-sample tests show that a significant portion of transaction costs can be anticipated before the trade execution. Results show that high-level execution strategies can be constructed to optimize the algo choice.

Optimization of management control costs in the context of transaction expenses (in terms of an educational organization)

The article examines the importance of management control for optimizing the transaction expenses in an educational organization. The author highlighted the opinions of the economists from various theoretical positions. Examples of changes in the optimal control costs, the occurrence of losses from the organization of ineffective control nave been considered, possible ways of solving the problems that have arisen have been given. The extensive material has been structured, which made it possible to highlight the relevance of the study of transaction expenses. According to the authors, the minimum amount of control costs is determined at the point of equality of explicit and implicit transaction costs, that is, the losses of the organization and the costs of executing contracts. At the same time, the optimal amount of control costs will be in the area of relevance of the marginal costs of control and the marginal benefits from the implementation of control measures. Deviations from this zone in any direction are undesirable for the organization.

IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING

This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded volume. The investors in the market always buy at the ask and sell at the bid price. Implicit transaction costs are composed of two terms, one is able to capture the bid-ask spread, and the second the price impact. Moreover, a new definition of a self-financing portfolio is obtained. The self-financing condition suggests that continuous trading is possible, but is restricted to predictable trading strategies having cádlág (right-continuous with left limits) and cáglád (left-continuous with right limits) paths of bounded quadratic variation and of finitely many jumps. That is, cádlág and cáglád predictable trading strategies of infinite variation, with finitely many jumps and of finite quadratic variation are allowed in our setting. Restricting ourselves to cáglád predictable trading strategies, we show that the existence of an equivalent probability measure is equivalent to the absence of arbitrage opportunities, so that the first fundamental theorem of asset pricing (FFTAP) holds. It is also shown that the use of continuous and bounded variation trading strategies can improve the efficiency of hedging in a market with implicit transaction costs. To better understand how to apply the theory proposed we provide an example of an implicit transaction cost economy that is linear and nonlinear in the order size.

Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open

We find a strong tendency for positive returns during the overnight period followed by reversals during the trading day. This behavior is driven by an opening price that is high relative to intraday prices. It is concentrated among stocks that have recently attracted the attention of retail investors, it is more pronounced for stocks that are difficult to value and costly to arbitrage, and it is greater during periods of high overall retail investor sentiment. The additional implicit transaction costs for retail traders who buy high-attention stocks near the open frequently exceed the effective half spread.