The literature on currency investing that incorporates transaction costs uses costs relevant for small trade sizes. Using the entire order book of the major electronic brokerages for FX, we compute sweep-to-fill costs for trades of different sizes and illustrate the reduction in post-cost...

This article describes a simple model of market microstructure which explains a concave price impact. In the proposed model, the local relationship between the order flow and the fundamental price (i.e. the local price impact) is linear, which makes the model dynamically consistent....

The competitive market is informationally efficient; people only need to know prices to implement a competitive outcome. However, the standard formulation of competition neglects any underlying market microstructure; prices—which provide all necessary information—are exogenous. This paper...