Note: This page has been translated by MathWorks. Click here to see

To view all translated materials including this page, select Country from the country navigator on the bottom of this page.

To view all translated materials including this page, select Country from the country navigator on the bottom of this page.

Estimate and compare liquidation costs across stocks

`lf = liquidityFactor(k,trade)`

returns the ratio of liquidation costs due to liquidity
demand by stock for an equal investment value, or liquidity factor.
`lf`

= liquidityFactor(`k`

,`trade`

)`liquidityFactor`

uses the Kissell
Research Group (KRG) transaction cost analysis object
`k`

and trade data
`trade`

.

For details about the formula and calculations, contact the Kissell Research Group.

You can expand the LF model to include a stock-specific factor such as market capitalization, beta, P/E ratio, and Debt/Equity ratio. In this case, $${X}_{k}$$ denotes the stock-specific factor and $${a}_{k}$$ denotes the corresponding shape parameter. For details about implementing an expanded LF model, contact the Kissell Research Group.

[1] Kissell, Robert. “A Practical Framework for Transaction Cost Analysis.” Journal of Trading. Vol. 3, Number 2, Summer 2008, pp. 29–37.

[2] Kissell, Robert. “Algorithmic Trading Strategies.” Ph.D. Thesis. Fordham University, May 2006.

[3] Kissell, Robert. “TCA in the Investment Process: An Overview.” Journal of Index Investing. Vol. 2, Number 1, Summer 2011, pp. 60–64.

[4] Kissell, Robert. The Science of Algorithmic Trading and Portfolio Management. Cambridge, MA: Elsevier/Academic Press, 2013.

[5] Kissell, Robert, and Morton Glantz. Optimal Trading Strategies. New York, NY: AMACOM, Inc., 2003.

`iStar`

| `krg`

| `marketImpact`

| `priceAppreciation`

| `timingRisk`

Was this topic helpful?