Skip to main content

Main menu

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Trading
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Trading

The Journal of Trading

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter
Article

Fairness in Trading: A Microeconomic Interpretation

Stephen Satchell and Bernd Scherer
The Journal of Trading Winter 2010, 5 (1) 40-47; DOI: https://doi.org/10.3905/JOT.2010.5.1.040
Stephen Satchell
is a visiting professor at Birkbeck, University of London in London, U.K.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: ses999gb@yahoo.co.uk
Bernd Scherer
is professor of finance at the EDHEC Business School in Nice, France.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: drberndscherer@gmx.net
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.
Don’t have access? Sign up today to begin your trial to the PMR platform 

Abstract

This article shows that nonlinear transaction costs generate external effects between accounts due to trade-volume-dependent marginal transaction costs. For an asset manager with multiple clients, this raises the question of fairness: How do I ensure that all clients are treated fairly? In general, two possible solutions exist. The first is the so-called COURNOT/NASH solution, where each account is optimized under the assumption that trading in the remaining accounts is given. However, in a COURNOT/NASH equilibrium, each client pays the average costs of trading but creates higher marginal costs (under the assumption of nonlinear transaction costs) on the “community” of accounts. Ignoring this interdependence will hurt performance in all accounts. The authors model optimal trading with mean variance preferences as a duopoly game. This allows the use of well-developed microeconomic tools for analyzing the optimal trading problem and linking it with the literature on external effects and their solution, i.e., the COASE theorem.

  • © 2010 Pageant Media Ltd
View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Trading: 5 (1)
The Journal of Trading
Vol. 5, Issue 1
Winter 2010
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Trading.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Fairness in Trading: A Microeconomic Interpretation
(Your Name) has sent you a message from The Journal of Trading
(Your Name) thought you would like to see the The Journal of Trading web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Fairness in Trading: A Microeconomic Interpretation
Stephen Satchell, Bernd Scherer
The Journal of Trading Dec 2009, 5 (1) 40-47; DOI: 10.3905/JOT.2010.5.1.040

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Fairness in Trading: A Microeconomic Interpretation
Stephen Satchell, Bernd Scherer
The Journal of Trading Dec 2009, 5 (1) 40-47; DOI: 10.3905/JOT.2010.5.1.040
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • COMPETITIVE COURNOT/NASH SOLUTION VERSUS PARETO OPTIMALITY
    • DIFFERENCES IN VALUE ADDED—A DUOPOLY GAME
    • SHOULD SIZE MATTER?
    • CONCLUSION AND ASSET MANAGEMENT IMPLICATION
    • ENDNOTE
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • COMMENTARY: Space Unicorns and the Intermarket Trading System: Revisiting Myths
  • COMMENTARY: Commentary on “If Best Execution Is a Process, What Does That Process Look Like?”1
  • COMMENTARY: Beyond the Black Box Revisited: Algorithmic Trading and TCA Analysis Using Excel
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1559-3967 | E-ISSN: 2168-8427

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies