MathWorks today announced new transaction cost analysis capabilities in MATLAB, built using Kissell Research Group models. Starting in Release 2016a, Trading Toolbox provides trading-specific functions for estimating costs, performing analytics, and optimizing strategies. Now, traders and fund managers involved with large transactions of exchange-traded instruments can use Trading Toolbox for back testing and real-time execution, building on their existing use of MATLAB to test trading ideas.
With growing volumes of algorithmic and high-frequency trading, traders need the ability to quantitatively gauge trading costs such as market impact, timing risk, and price appreciation. Trading Toolbox now includes models such as instantaneous trading costs, single-order market impact costs, market impact cost curves by security or portfolio, price appreciation costs, timing risk costs, and liquidation costs. Traders can now implement best execution, the practice of maximizing trade performance for the benefit of a client.
While estimating trading costs across securities or portfolios, traders and portfolio managers can optimize and perform sensitivity analysis on a variety of trade execution strategies. Following this, post-trade metrics can be analyzed to identify how a trade execution strategy is performing and attribute trading costs from various sources, including monitoring broker performance.
“By incorporating transaction cost analysis into trading systems, traders, fund managers, and investors can significantly improve investment performance,” said Robert Kissell, President of Kissell Research Group. “We found that none of the other software packages came close to delivering the speed that MATLAB provides as well as usability and easy translation of our complex mathematics to usable software.”
“Both buy-side and sell-side firms need transaction cost analysis to determine execution strategies that maximize financial performance as well as execution efficiency,” said Kawee Numpacharoen, computational finance product manager, MathWorks. “By partnering with Kissell Research Group, we continue to provide a platform that helps financial professionals select execution strategies, test their trading ideas, and improve trading efficiency.”
To learn more about Trading Toolbox, please visit mathworks.com/products/trading.