Transaction Cost Analysis to Optimize Trading Strategies

Autor:	Henri Waelbroeck, Carla Gomes
Rok vydání:	2010
Předmět:	Transaction cost Operations research Computer science media_common.quotation_subject Trading strategy Quality (business) General Medicine Limit price Best execution media_common
Zdroj:	The Journal of Trading. 5:29-38
ISSN:	2168-8427 1559-3967
DOI:	10.3905/jot.2010.5.4.029
Popis:	Transaction cost analysis (TCA) has been receiving increased attention as an essential element in minimizing trading costs and achieving best execution. In this article, Gomes and Waelbroeck introduce advancements to TCA that reformulate it as a new tool in the design of optimal trading strategies. Their analytical solution separately identifies order-flow characteristics and broker execution quality and assesses the impact of speed and limit price with the purpose of helping traders find opportunities to enhance performance.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::c4cd7ba8fffa9977f62b60b6d80092e7 https://doi.org/10.3905/jot.2010.5.4.029 Zobrazit plný text záznamu