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Quantitative Finance · Begrippenlijst

Wat is Slippage attribution?

Definition 19.3 Microstructure and Execution · Hoofdstuk 19 — Transaction-Cost Analysis

Slippage attribution splits an order’s implementation shortfall into parts that add up to it: the delay before the order reaches the market, the spread paid or earned on each fill, the impact (the price’s move caused by the order), the timing (the price’s move it did not cause), the opportunity cost of what was not filled, and fees.

Attribution of the implementation shortfall of the 200 orders under each algorithm: the parts add up to the total exactly. Data: mx_tca.study.
Figure 19.2. Attribution of the implementation shortfall of the 200 orders under each algorithm: the parts add up to the total exactly. Data: mx_tca.study.
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