In today's financial world, providing high quality of order execution at low transaction costs is vitally important to the competitiveness of trading platforms; thus the stock market's microstructure has become a subject of fierce debate and models for computing transaction costs have been needed for quite a while. Capital market synergetics is appropriate to investigate the market microstructure's effectiveness and is implemented in the computer program KapSyn. In this paper we compare transaction costs for small, medium-size and block-size orders on each exchange, examining different market scenarios. By investigating the peculiarities of Xetra and of Nasdaq we point out their comparative advantages: calculation results clearly show the high operating efficiency of Nasdaq's small-order execution system and Xetra's favourable execution of medium-size and block-size orders. Investors' trading decisions may benefit from taking these results into account. For policy makers and academics these findings contribute to the debate about the optimal design of a market microstructure by highlighting the areas of high performance.
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