Transaction Cost 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
Simulate the trading cost environment for a collection of stocks.
Determine the current or historical buy-sell imbalance for a stock or basket of stocks.
Analyze a portfolio by estimating the historical market-impact costs of different orders on various dates.
Analyze a portfolio by estimating the historical market-impact costs for a volatile period of time.
Determine and compare the cost of liquidating individual stocks.
Liquidate a specified dollar value from a portfolio by finding optimal share quantities that minimize market-impact cost.
Estimate trading costs, calculate risk statistics, create a basket summary report, and determine the efficient trading frontier for a basket.
Optimize Trading Strategies
Estimate the trading costs for an optimal percentage of volume trading strategy.
Estimate the trading costs for an optimal trade time trading strategy.
Estimate the trading costs for an optimal trade schedule trading strategy.
Estimate the trading costs for an optimal trade schedule trading strategy using a basket.
Determine optimal portfolio weights for a long portfolio.