Markets: A Rigorous Course

M01 · Problem 6 ★★ Check

Two brokerage regimes

Under "0.03% or ₹20, whichever is lower" brokerage, derive the intraday break-even move in basis points as a function of the order value N=PQN = PQ for NN below and above ₹20/0.0003\text{₹}20/0.0003. Show that it is continuous at the boundary, constant below it and decreasing above it, and find its limit as N→∞N \to \infty. Check your formula against m01_costs_tax.breakeven_move for N=₹30,000N = \text{₹}30{,}000, ₹1 lakh and ₹50 lakh at P=₹1,500P = \text{₹}1{,}500.

Answers

Commas, ₹, % and 1e-3 notation are accepted.

Working

Keep your working next to each problem, in markdown with maths: create a free account or sign in.

Solution

Try the problem first. Write down where you got stuck before opening it.

Create a free account

Reading is open to everyone. An account keeps your progress, answers, notes and code drafts, and gives you the study plan, the journals and the simulator. Running code needs an account approved for it.