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Quantitative Finance · Begrippenlijst

Wat is Transaction cost analysis?

Definition 23.5 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 23 — Measuring Market Making and Execution

Transaction cost analysis (TCA) is the measurement of the costs of executed orders against benchmarks (the decision and arrival prices, VWAP, the close), decomposed into parts attributable to decisions (delay, the choice to leave quantity unfilled) and to execution (the price paid against the market at each fill), and aggregated over many orders to compare brokers, algorithms and traders.

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