Transaction Cost Analysis (TCA) MATLAB Webinar

版本 1.0.0.0 (527.6 KB) 作者: Robert Kissell
Examples showing how to perform TCA Analysis using the MATLAB Trading Toolbox TCA Functions
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更新时间 2016/12/7

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TCAScriptMATLABWebinar_20161206.m
Webinar Presentation showing how to perform Transaction Costs Analysis (TCA) using the MATLAB Trading Toolbox TCA Functions.

This script applies to Algorithmic Trading, Transaction Costs Analysis, Pre-Trade, and Post Trade Analysis.

Examples are provided to assist users perform the following TCA analysis on their own desktop without the need to connect to any third party server or API:
MI = Market Impact Cost
TR = Timing Risk
PA = Price Appreciation Cost
LF = Liquidity Factor Analysis
Cost Curves
Single Stock Optimization
Sensitivity & What-If Analysis
Pre-Trade Analysis
Agency Execution vs. Principal Bid

引用格式

Robert Kissell (2024). Transaction Cost Analysis (TCA) MATLAB Webinar (https://www.mathworks.com/matlabcentral/fileexchange/60622-transaction-cost-analysis-tca-matlab-webinar), MATLAB Central File Exchange. 检索时间: .

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创建方式 R2016a
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版本 已发布 发行说明
1.0.0.0