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Primary Article

Transaction Cost Analysis

A Practical Framework to Measure Costs and Evaluate Performance

Robert Kissell
The Journal of Trading Spring 2008, 3 (2) 29-37; DOI: https://doi.org/10.3905/jot.2008.705630
Robert Kissell
The head of quantitative trading strategies at JPMorgan Securities in New York, NY.
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  • For correspondence: robert.kissell@jpmorgan.com
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Abstract

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.

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The Journal of Trading
Vol. 3, Issue 2
Spring 2008
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Transaction Cost Analysis
Robert Kissell
The Journal of Trading Mar 2008, 3 (2) 29-37; DOI: 10.3905/jot.2008.705630

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Transaction Cost Analysis
Robert Kissell
The Journal of Trading Mar 2008, 3 (2) 29-37; DOI: 10.3905/jot.2008.705630
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