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Working paper

On Linearity of Transaction Costs in Order Driven Market

Andreev N. A.
We research the properties of implicit transaction costs function for general-shaped limit order book. Equivalent conditions for linearity of the function are presented in terms of market liquidity. We also present a suitable functional form of implicit costs for MICEX order-driven market based on high-frequency trading data. The proposed form meets the denition of costs and implied properties while corresponding to the real form of order distribution.