TY - JOUR T1 - Transaction Cost Analysis JF - The Journal of Trading SP - 29 LP - 37 DO - 10.3905/jot.2008.705630 VL - 3 IS - 2 AU - Robert Kissell Y1 - 2008/03/31 UR - https://pm-research.com/content/3/2/29.abstract N2 - 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 ER -