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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`

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