交易成本分析

进行交易成本、敏感度和交易后执行分析

使用 Kissell Research Group 数据和公式估计交易成本、执行交易分析并优化交易策略。交易成本分析函数会解密 Kissell Research Group 市场影响数据来估计交易成本。您可以通过由用户名和密码组成的凭据来检索此数据。有关凭据的详细信息，请联系 Kissell Research Group。有关交易成本分析的简单示例，请参阅Estimate Trading Costs for Collection of Stocks。

函数

`krg`	Create Kissell Research Group transaction cost analysis object
`costCurves`	Estimate market-impact cost of order execution
`iStar`	Estimate instantaneous trading cost for order
`liquidityFactor`	Estimate and compare liquidation costs across stocks
`marketImpact`	Estimate price movement due to order or trade
`portfolioCostCurves`	Estimate market-impact cost of order execution for portfolio
`priceAppreciation`	Estimate trading cost due to natural price movement
`timingRisk`	Estimate uncertainty of market impact cost

主题

估计交易成本

Conduct Sensitivity Analysis to Estimate Trading Costs
Simulate the trading cost environment for a collection of stocks.
Determine Buy-Sell Imbalance Using Cost Index
Determine the current or historical buy-sell imbalance for a stock or basket of stocks.
Conduct Back Test on Portfolio
Analyze a portfolio by estimating the historical market-impact costs of different orders on various dates.
Conduct Stress Test on Portfolio
Analyze a portfolio by estimating the historical market-impact costs for a volatile period of time.
Estimate Portfolio Liquidation Costs
Determine and compare the cost of liquidating individual stocks.
Liquidate Dollar Value from Portfolio
Liquidate a specified dollar value from a portfolio by finding optimal share quantities that minimize market-impact cost.
Create Basket Summary and Efficient Trading Frontier
Estimate trading costs, calculate risk statistics, create a basket summary report, and determine the efficient trading frontier for a basket.

优化交易策略

Optimize Percentage of Volume Trading Strategy
Estimate the trading costs for an optimal percentage of volume trading strategy.
Optimize Trade Time Trading Strategy
Estimate the trading costs for an optimal trade time trading strategy.
Optimize Trade Schedule Trading Strategy
Estimate the trading costs for an optimal trade schedule trading strategy.
Optimize Trade Schedule Trading Strategy for Basket
Estimate the trading costs for an optimal trade schedule trading strategy using a basket.
Optimize Long Portfolio
Determine optimal portfolio weights for a long portfolio.

交易后分析

Analyze Trading Execution Results
Conduct post-trade analysis to evaluate trade execution quality.
Rank Broker Performance
Calculate value add and market-impact cost by broker to compare performance.

指标和示例数据描述

Post-Trade Analysis Metrics Definitions
Find definitions of metrics for analyzing transaction results.
Kissell Research Group Data Sets
Find descriptions of the example data sets.

交易成本分析

函数

主题

估计交易成本

优化交易策略

交易后分析

指标和示例数据描述

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