摘要翻译：
购买或出售资产会导致投资者的交易成本。一方面，所有的市场实践者都知道，交易成本平均为正，因此存在系统损失。另一方面，对于每一个交易，都有买方和卖方，资产总量和现金总量是守恒的。我证明，对所有参与者的系统损失的明显矛盾的观察是交易过程中固有的，因为它对应于未完成订单和价格变化的相关性。
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英文标题：
《The slippage paradox》
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作者：
Steffen Bohn (PMA)
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
  Buying or selling assets leads to transaction costs for the investor. On one hand, it is well know to all market practionaires that the transaction costs are positive on average and present therefore systematic loss. On the other hand, for every trade, there is a buy side and a sell side, the total amount of asset and the total amount of cash is conserved. I show, that the apparently paradoxical observation of systematic loss of all participants is intrinsic to the trading process since it corresponds to a correlation of outstanding orders and price changes.
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PDF链接：
https://arxiv.org/pdf/1103.2214