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Estimate trading cost due to natural price movement

`alpha = priceAppreciation(k,trade)`

returns
the trading cost due to the natural price movement of a stock, or price appreciation. `alpha`

= priceAppreciation(`k`

,`trade`

)`priceAppreciation`

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

and
trade data `trade`

.

For details about the formula and calculations, 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`

| `liquidityFactor`

| `marketImpact`

| `timingRisk`

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