Transaction Cost Analysis
My affair with TCA and financial market structure
Below the Waterline
𝘽𝙖𝙘𝙠 𝙞𝙣 𝙩𝙝𝙚 𝙙𝙖𝙮, 𝙄 𝙙𝙚𝙨𝙞𝙜𝙣𝙚𝙙, 𝙚𝙙𝙞𝙩𝙚𝙙 𝙖𝙣𝙙 𝙬𝙧𝙤𝙩𝙚 𝙢𝙤𝙨𝙩 𝙤𝙛 𝙖 𝙗𝙤𝙤𝙠 𝙤𝙣 𝙏𝘾𝘼 𝙛𝙤𝙧 𝙄𝙣𝙫𝙚𝙨𝙩𝙢𝙚𝙣𝙩 𝙏𝙚𝙘𝙝𝙣𝙤𝙡𝙤𝙜𝙮 𝙂𝙧𝙤𝙪𝙥, 𝙩𝙝𝙚 𝙡𝙚𝙖𝙙𝙚𝙧 𝙞𝙣 𝙏𝘾𝘼 𝙨𝙚𝙧𝙫𝙞𝙘𝙚𝙨. 𝙏𝙝𝙚 𝙗𝙤𝙤𝙠 𝙞𝙨 𝙖 𝙥𝙧𝙞𝙢𝙚𝙧 𝙤𝙣 𝙏𝘾𝘼 𝙢𝙚𝙩𝙝𝙤𝙙𝙤𝙡𝙤𝙜𝙮 𝙛𝙧𝙤𝙢 𝙩𝙝𝙚 𝙝𝙚𝙮𝙙𝙖𝙮 𝙤𝙛 𝙞𝙩𝙨 𝙙𝙚𝙫𝙚𝙡𝙤𝙥𝙢𝙚𝙣𝙩. 𝘾𝙤𝙡𝙡𝙖𝙗𝙤𝙧𝙖𝙩𝙤𝙧𝙨 𝙖𝙧𝙚 𝙡𝙞𝙨𝙩𝙚𝙙 𝙞𝙣 𝙩𝙝𝙚 𝙥𝙧𝙚𝙛𝙖𝙘𝙚 𝙩𝙤 𝙩𝙝𝙚 𝙫𝙤𝙡𝙪𝙢𝙚. 𝙏𝙝𝙚 𝙘𝙤𝙛𝙛𝙚𝙚 𝙩𝙖𝙗𝙡𝙚 𝙛𝙤𝙧𝙢𝙖𝙩 𝙬𝙖𝙨 𝙥𝙪𝙗𝙡𝙞𝙨𝙝𝙚𝙙 𝙞𝙣 𝙖 𝙡𝙞𝙢𝙞𝙩𝙚𝙙 𝙚𝙙𝙞𝙩𝙞𝙤𝙣 𝙤𝙛 7,000 𝙪𝙣𝙙𝙚𝙧 𝙄𝙎𝘽𝙉 978-0-615-28516-0 𝙖𝙣𝙙 𝙇𝙞𝙗𝙧𝙖𝙧𝙮 𝙤𝙛 𝘾𝙤𝙣𝙜𝙧𝙚𝙨𝙨 𝙉𝙤. 2009924817. 𝙄 𝙝𝙖𝙫𝙚 𝙝𝙖𝙙 𝙢𝙖𝙣𝙮 𝙧𝙚𝙦𝙪𝙚𝙨𝙩𝙨 𝙛𝙤𝙧 𝙞𝙩 𝙨𝙞𝙣𝙘𝙚 𝙩𝙝𝙚𝙣, 𝙖𝙣𝙙 𝙩𝙝𝙚 𝙥𝙧𝙞𝙣𝙩 𝙫𝙚𝙧𝙨𝙞𝙤𝙣 𝙣𝙤𝙬 𝙞𝙨 𝙨𝙘𝙖𝙧𝙘𝙚. 𝙑𝙞𝙧𝙩𝙪 𝙖𝙘𝙦𝙪𝙞𝙧𝙚𝙙 𝙄𝙏𝙂 𝙞𝙣 2019 𝙖𝙣𝙙 𝙝𝙖𝙨 𝙜𝙧𝙖𝙣𝙩𝙚𝙙 𝙥𝙚𝙧𝙢𝙞𝙨𝙨𝙞𝙤𝙣 𝙛𝙤𝙧 𝙪𝙨𝙚 𝙤𝙛 𝙩𝙝𝙚 𝙨𝙤𝙛𝙩 𝙘𝙤𝙥𝙮. 𝘾𝙡𝙞𝙘𝙠 𝙗𝙚𝙡𝙤𝙬 𝙩𝙤 𝙧𝙚𝙖𝙙, 𝙗𝙪𝙩 𝙥𝙡𝙚𝙖𝙨𝙚 𝙙𝙤 𝙣𝙤𝙩 𝙧𝙚𝙙𝙞𝙨𝙩𝙧𝙞𝙗𝙪𝙩𝙚 𝙤𝙛𝙛 𝙩𝙝𝙞𝙨 𝙬𝙚𝙗𝙨𝙞𝙩𝙚. 𝙀𝙙𝙪𝙘𝙖𝙩𝙞𝙤𝙣 𝙞𝙨 𝙖𝙡𝙬𝙖𝙮𝙨 𝙖 𝙜𝙤𝙤𝙙 𝙫𝙖𝙡𝙪𝙚 𝙥𝙧𝙤𝙥𝙤𝙨𝙞𝙩𝙞𝙤𝙣, 𝙖𝙣𝙙 𝙩𝙝𝙞𝙨 𝙗𝙤𝙤𝙠 𝙘𝙖𝙣 𝙤𝙣𝙡𝙮 𝙝𝙚𝙡𝙥 𝙛𝙪𝙧𝙩𝙝𝙚𝙧 𝙩𝙝𝙚 𝙜𝙤𝙤𝙙 𝙬𝙤𝙧𝙠 𝙙𝙤𝙣𝙚 𝙗𝙮 𝙩𝙝𝙚 𝙑𝙞𝙧𝙩𝙪 𝙩𝙚𝙖𝙢 𝙩𝙤 𝙧𝙚𝙙𝙪𝙘𝙚 𝙛𝙧𝙞𝙘𝙩𝙞𝙤𝙣𝙖𝙡 𝙘𝙤𝙨𝙩𝙨 𝙩𝙤 𝙩𝙝𝙚 𝙞𝙣𝙨𝙩𝙞𝙩𝙪𝙩𝙞𝙤𝙣𝙖𝙡 𝙞𝙣𝙫𝙚𝙨𝙩𝙤𝙧.
𝘼𝙡𝙢𝙤𝙨𝙩 𝙩𝙚𝙣 𝙮𝙚𝙖𝙧𝙨 𝙡𝙖𝙩𝙚𝙧, 𝙄 𝙗𝙚𝙜𝙖𝙣 𝙖 𝙨𝙚𝙦𝙪𝙚𝙡 𝙙𝙚𝙫𝙤𝙩𝙚𝙙 𝙩𝙤 𝙞𝙣-𝙙𝙚𝙥𝙩𝙝 𝙖𝙥𝙥𝙡𝙞𝙘𝙖𝙩𝙞𝙤𝙣𝙨 𝙧𝙖𝙩𝙝𝙚𝙧 𝙩𝙝𝙖𝙣 𝙩𝙝𝙚𝙤𝙧𝙮 𝙖𝙣𝙙 𝙜𝙚𝙣𝙚𝙧𝙖𝙡 𝙚𝙭𝙖𝙢𝙥𝙡𝙚𝙨. 𝙏𝙝𝙚 𝙥𝙧𝙤𝙟𝙚𝙘𝙩 𝙣𝙚𝙫𝙚𝙧 𝙘𝙖𝙢𝙚 𝙩𝙤 𝙘𝙤𝙢𝙥𝙡𝙚𝙩𝙚 𝙛𝙧𝙪𝙞𝙩𝙞𝙤𝙣, 𝙗𝙪𝙩 𝙢𝙖𝙣𝙮 𝙤𝙛 𝙩𝙝𝙚 𝙘𝙝𝙖𝙥𝙩𝙚𝙧𝙨 𝙬𝙚𝙧𝙚 𝙘𝙤𝙢𝙥𝙡𝙚𝙩𝙚 𝙖𝙣𝙙 𝙖𝙧𝙚 𝙖𝙫𝙖𝙞𝙡𝙖𝙗𝙡𝙚 𝙗𝙚𝙡𝙤𝙬. 𝘼𝙡𝙡 𝙙𝙖𝙩𝙖 𝙬𝙚𝙧𝙚 𝙨𝙤𝙪𝙧𝙘𝙚𝙙 𝙛𝙧𝙤𝙢 𝙩𝙝𝙚 𝙄𝙏𝙂 𝙏𝘾𝘼 𝘿𝙖𝙩𝙖𝙗𝙖𝙨𝙚.
TCA Without
Transaction Prices
Transaction Costs and Portfolio Capacity
Algorithmic Trading
Strategies
Machine Learning and Performance Driven Trading