1 See, for example, Ian Domowitz, Jack Glen, and Ananth Madhavan, “Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time,” International Finance 4, no. 2 (2001): 221–255 and Donald B. Keim and Ananth Madhavan, “The Costs of Institutional Equity Trades,” Financial Analysts Journal 54, no. 4 (1998): 50–69.
2 Since the buyer buys at the ask and the seller sells at the bid, this definition of market impact cost ignores the bid–ask spread which is an explicit cost.
3 Gang Hu, “Measures of Implicit Trading Costs and Buy-Sell Asymmetry,” Journal of Financial Markets 12, no. 3 (2009): 418–437.
4 Private communication RAS Asset Management.
5 Joel Hasbrouck and Gideon Saar, “Technology and Liquidity Provision: The Blurring of Traditional Definitions,” Journal of Financial Markets 12, no. 2 (2008): 143–172.
6 Note that even if it is possible to view the entire limit order book it does not give a complete picture of the liquidity in the market. This is because hidden and discretionary orders are not included. For a discussion on this ...