Trading Costs at Different Price Levels: Analysis of Equity Index Futures and Crude Oil Futures

July 21, 2021 - A common notion is to measure the cost estimates of an algorithm in basis points, which requires price level as a deflator in the cost estimate equation. Another rationale that is common in cash equity is that low-priced stocks are more volatile because of lower market capitalization and will have higher slippage; one expects higher slippage at lower price levels than higher price levels.

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