@article {Kissell29, author = {Robert Kissell}, title = {Transaction Cost Analysis}, volume = {3}, number = {2}, pages = {29--37}, year = {2008}, doi = {10.3905/jot.2008.705630}, publisher = {Institutional Investor Journals Umbrella}, 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.TOPICS: Statistical methods, performance measurement, portfolio construction}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/3/2/29}, eprint = {https://jot.pm-research.com/content/3/2/29.full.pdf}, journal = {The Journal of Trading (Retired)} }