Estimate trading cost due to natural price movement

returns
the trading cost due to the natural price movement of a stock, or price appreciation. `alpha`

= priceAppreciation(`k`

,`trade`

)`priceAppreciation`

uses
the Kissell Research Group (KRG) transaction cost object `k`

and
trade data `trade`

.

For details about the formula and calculations, contact the 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.

`iStar`

| `krg`

| `liquidityFactor`

| `marketImpact`

| `timingRisk`