PT  - JOURNAL ARTICLE
AU  - Denizhan Alparslan
AU  - Milan Borkovec
AU  - Konstantin Tyurin
TI  - Ex Post Price Impact Modeling: <em>Challenges and Opportunities</em>
AID  - 10.3905/jot.2014.9.4.091
DP  - 2014 Sep 30
TA  - The Journal of Trading
PG  - 91--99
VI  - 9
IP  - 4
4099  - https://pm-research.com/content/9/4/91.short
4100  - https://pm-research.com/content/9/4/91.full
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