IIRC moex is perticularly expensive to trade on, and costs can be non linear -- but something like 1bps of commms is a reasonable approximation as an upper boun

IIRC moex is perticularly expensive to trade on, and costs can be non linear -- but something like 1bps of commms is a reasonable approximation as an upper bound. In the paper they claim a cost of 2.5RUB per transaction, not the 20 in the config file. Edit*: It looks like the comms are indeed around 10RUB per side (which is approx 1bps). https://www.moex.com/en/contract.aspx https://www.moex.com/en/contract.aspx If the model is trading single lots then this is a reasonable cost assumption, otherwise it isn't. The paper using 2.5RUB as costs is unreasonable.