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Quantitative Finance · Begrippenlijst

Wat is Pre-trade cost estimate?

Definition 19.2 Microstructure and Execution · Hoofdstuk 19 — Transaction-Cost Analysis

A pre-trade cost estimate is the expected cost of an order computed before it is sent, from its size, the stock’s volume, volatility and spread, and a model of impact; it prices the decision to trade and sets the yardstick for the result.

The pre-trade model out of sample: the patient algorithm’s orders of the last 50 days in five groups by predicted cost, their mean realised cost against arrival and its standard error. Data: mx_tca.study.
Figure 19.1. The pre-trade model out of sample: the patient algorithm’s orders of the last 50 days in five groups by predicted cost, their mean realised cost against arrival and its standard error. Data: mx_tca.study.
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