RT Journal Article
SR Electronic
T1 Transaction Cost Analysis
JF The Journal of Trading
FD Institutional Investor Journals
SP 29
OP 37
DO 10.3905/jot.2008.705630
VO 3
IS 2
A1 Robert Kissell
YR 2008
UL https://pm-research.com/content/3/2/29.abstract
AB This article presents a framework for financial transaction cost analysis (TCA). We discuss the importance of properly distinguishing between a cost and a performance metric. We investigate implementation shortfall and arrival price costing methodologies and debate the value of each. We then introduce techniques to properly evaluate transaction performance using pre-trade estimates and z-score, market adjusted costs, relative performance measure (RPM), interval VWAP, and non-parametric statistical tests.TOPICS: Statistical methods, performance measurement, portfolio construction