@article {Alparslan91, author = {Denizhan Alparslan and Milan Borkovec and Konstantin Tyurin}, title = {Ex Post Price Impact Modeling: Challenges and Opportunities }, volume = {9}, number = {4}, pages = {91--99}, year = {2014}, doi = {10.3905/jot.2014.9.4.091}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In this article we discuss the proper modeling of ex-post price impact and introduce a new TCA framework that allows the realized returns and implementation shortfall costs to decompose into components associated with general market factors and stock-specific attributes. Furthermore, the stock-specific factors are split into components due to the impact of own trades and trades by other market participants. We will illustrate this methodology by applying it to a forensic case study. Our novel attribution framework allows in-depth analysis and management of price impact for individual orders and can be effectively used for high-touch execution consulting. The new post-trade price impact model opens up room for many applications.TOPICS: Security analysis and valuation, big data/machine learning}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/9/4/91}, eprint = {https://jot.pm-research.com/content/9/4/91.full.pdf}, journal = {The Journal of Trading (Retired)} }