PT - JOURNAL ARTICLE AU - Robert Kissell TI - Transaction Cost Analysis AID - 10.3905/jot.2008.705630 DP - 2008 Mar 31 TA - The Journal of Trading PG - 29--37 VI - 3 IP - 2 4099 - https://pm-research.com/content/3/2/29.short 4100 - https://pm-research.com/content/3/2/29.full 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