RT Journal Article
SR Electronic
T1 Ex Post Price Impact Modeling: <em>Challenges and Opportunities</em>
JF The Journal of Trading
FD Institutional Investor Journals
SP 91
OP 99
DO 10.3905/jot.2014.9.4.091
VO 9
IS 4
A1 Denizhan Alparslan
A1 Milan Borkovec
A1 Konstantin Tyurin
YR 2014
UL https://pm-research.com/content/9/4/91.abstract
AB 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