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Transaction Cost Analysis

Conduct trading cost, sensitivity, and post-trade execution analysis

Estimate trading costs, perform trading analytics, and optimize trading strategies using Kissell Research Group data and formulations. The transaction cost analysis functions decrypt the Kissell Research Group market-impact data to estimate trading costs. You can retrieve this data based on your credentials that consist of a user name and password. For details about credentials, contact the Kissell Research Group. For a simple example of transaction cost analysis, see Estimate Trading Costs for Collection of Stocks.

Functions

krgCreate Kissell Research Group transaction-cost analysis object
costCurvesEstimate market-impact cost of order execution
iStarEstimate instantaneous trading cost for order
liquidityFactorEstimate and compare liquidation costs across stocks
marketImpactEstimate price movement due to order or trade
portfolioCostCurvesEstimate market-impact cost of order execution for portfolio
priceAppreciationEstimate trading cost due to natural price movement
timingRiskEstimate uncertainty of market-impact cost

Topics

Estimate Trading Costs

Conduct Sensitivity Analysis to Estimate Trading Costs

Simulate the trading cost environment for a collection of stocks.

Determine Buy-Sell Imbalance Using Cost Index

Determine the current or historical buy-sell imbalance for a stock or basket of stocks.

Conduct Back Test on Portfolio

Analyze a portfolio by estimating the historical market-impact costs of different orders on various dates.

Conduct Stress Test on Portfolio

Analyze a portfolio by estimating the historical market-impact costs for a volatile period of time.

Estimate Portfolio Liquidation Costs

Determine and compare the cost of liquidating individual stocks.

Liquidate Dollar Value from Portfolio

Liquidate a specified dollar value from a portfolio by finding optimal share quantities that minimize market-impact cost.

Create Basket Summary and Efficient Trading Frontier

Estimate trading costs, calculate risk statistics, create a basket summary report, and determine the efficient trading frontier for a basket.

Optimize Trading Strategies

Optimize Percentage of Volume Trading Strategy

Estimate the trading costs for an optimal percentage of volume trading strategy.

Optimize Trade Time Trading Strategy

Estimate the trading costs for an optimal trade time trading strategy.

Optimize Trade Schedule Trading Strategy

Estimate the trading costs for an optimal trade schedule trading strategy.

Optimize Trade Schedule Trading Strategy for Basket

Estimate the trading costs for an optimal trade schedule trading strategy using a basket.

Optimize Long Portfolio

Determine optimal portfolio weights for a long portfolio.

Post-Trade Analysis

Analyze Trading Execution Results

Conduct post-trade analysis to evaluate trade execution quality.

Rank Broker Performance

Calculate value add and market-impact cost by broker to compare performance.

Metrics and Example Data Descriptions

Post-Trade Analysis Metrics Definitions

Find definitions of metrics for analyzing transaction results.

Kissell Research Group Data Sets

Find descriptions of the example data sets.

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