¶ Trading Costs
¶ No Trade Zone
Michael Isichenko (2021) - Costly Trading - Paper formalizing the no trade zone, i.e. optimal trading with slippage
¶ No Trade Zone Derivation
ed: No Trade Zone derivation for trades that are proposal to size. For trades dependent on number of trades, target to center of band instead of edge of band.
Source: macrocephalopod via Twitter