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.
|Create Kissell Research Group transaction cost analysis object|
|Estimate market-impact cost of order execution|
|Estimate instantaneous trading cost for order|
|Estimate and compare liquidation costs across stocks|
|Estimate price movement due to order or trade|
|Estimate market-impact cost of order execution for portfolio|
|Estimate trading cost due to natural price movement|
|Estimate uncertainty of market impact cost|
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.
- 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.