AI For Trading:Transaction Costs (40)

Transaction Costs(交易成本)

Transaction costs are costs from buying or selling (trading) stocks or other assets. The main type of transaction cost for institutional investors (mutual funds, hedge funds) are the costs of moving the market price from large trades.
交易成本是购买或出售(交易)股票或其他资产的成本。机构投资者(共同基金,对冲基金)的主要交易成本是从大宗交易中转移市场价格的成本。

Let’s say a buy-side fund wishes to sell a large number of shares of a particular stock.If they went to a sell-side market maker (an investment bank), the market maker may initially buy at a competitive price, but may ask for a cheaper price to buy more and more of the stock that the fund wishes to sell. Why is this? Well, the market maker’s job is to always be ready to buy, or always be ready to sell. So the market maker wants to be compensated with a cheaper price for taking on more risk of buying all stocks that the fund wishes to unload. From the buy side fund’s perspective, this cheaper price is a transaction cost.

假设买方基金希望出售大量特定股票的股票。如果他们去卖方做市商(投资银行),做市商可能最初以有竞争力的价格买入,但可能要求以更低的价格购买该基金希望出售的越来越多的股票。为什么是这样?那么,做市商的工作就是随时准备购买,或者随时准备出售。因此,做市商希望以更低的价格获得补偿,以承担购买该基金希望卸载的所有股票的更大风险。从买方基金的角度来看,这个更便宜的价格是交易成本。

Transaction costs may be difficult to estimate until trading takes place, so a way to compare how costly a strategy may be is by checking how often the fund needs to make a trade. If a strategy requires trading every day as daily data is updated, this may incur more transaction costs compared to a strategy that requires trading once every three months.
在交易发生之前,交易成本可能难以估算,因此通过检查基金进行交易的频率来比较策略的成本是一种方法。如果策略需要每天进行交易,因为每日数据更新,与需要每三个月交易一次的策略相比,这可能会产生更多的交易成本。

为者常成,行者常至