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Are trading invariants really invariant? Trading costs matter

Bucci, F; Lillo, F; Bouchaud, JP; Benzaquen, M

Benzaquen, M (corresponding author), Capital Fund Management, 23 Rue Univ, F-75007 Paris, France.; Benzaquen, M (corresponding author), Ecole Polytech, CNRS, UMR 7646, Ladhyx, F-91128 Palaiseau, France.; Benzaquen, M (corresponding author), Ecole Polytech, Dept Econ, F-91128 Palaiseau, France.; Benzaquen, M (corresponding author), Ecole Polytech, Chair Econophys & Complex Syst, F-91128 Palaiseau, France.

QUANTITATIVE FINANCE, 2020; 20 (7): 1059

Abstract

We revisit the trading invariance hypothesis recently proposed by Kyle, A.S. and Obizhaeva, A.A. ['Market microstructure invariance: Empirical hypothe......

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