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 uncertainty of market impact cost

`tr = timingRisk(k,trade)`

returns the uncertainty of the market impact cost estimate, or timing
risk. `tr`

= timingRisk(`k`

,`trade`

)`timingRisk`

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.

[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] Glantz, Morton, and Robert Kissell. Multi-Asset Risk Modeling. Cambridge, MA: Elsevier/Academic Press, 2013.

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

`iStar`

| `krg`

| `liquidityFactor`

| `marketImpact`

| `priceAppreciation`

Was this topic helpful?