  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.
