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Transaction Cost Analysis (TCA) MATLAB Webinar

version 1.0.0.0 (528 KB) by Robert Kissell
Examples showing how to perform TCA Analysis using the MATLAB Trading Toolbox TCA Functions

7 Downloads

Updated 07 Dec 2016

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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

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MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
Windows macOS Linux