Estimate market-impact cost of order execution for portfolio

returns
the market-impact cost of order execution for a portfolio using: `pcc`

= portfolioCostCurves(`k`

,`portfolio`

,`tradeQuantity`

,`tqRange`

,`tradeStrategy`

,`tsRange`

)

Kissell Research Group (KRG) transaction cost analysis object

`k`

Portfolio data

`portfolio`

Trade quantity

`tradeQuantity`

with a range of values`tqRange`

Trade strategy

`tradeStrategy`

with a range of values`tsRange`

To test multiple portfolio transactions, you can use different ranges. You can change the percentage of shares in the transaction or use a different trade strategy. For details, see Input Arguments.

For details about the calculations, contact Kissell Research Group.

[1] Kissell, Robert. “A Practical Framework for Transaction
Cost Analysis.” *Journal of Trading*.
Vol. 3, Number 2, Summer 2008, pp. 29–37.

[2] Kissell, Robert. “Algorithmic Trading Strategies.” Ph.D. Thesis. Fordham University, May 2006.

[3] Kissell, Robert. “TCA in the Investment Process:
An Overview.” *Journal of Index Investing*.
Vol. 2, Number 1, Summer 2011, pp. 60–64.

[4] Kissell, Robert. *The Science of Algorithmic
Trading and Portfolio Management*. Cambridge, MA: Elsevier/Academic
Press, 2013.

[5] Kissell, Robert, and Morton Glantz. *Optimal
Trading Strategies*. New York, NY: AMACOM, Inc., 2003.

`costCurves`

| `iStar`

| `krg`

| `marketImpact`

| `timingRisk`