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timingRisk

Estimate uncertainty of market impact cost

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Syntax

tr = timingRisk(k,trade)

Description

example

tr= timingRisk(k,贸易)返回市场影响成本估算的不确定性，或timing risk。timingRiskuses the Kissell Research Group (KRG) transaction cost analysis objectk和贸易data贸易。

Examples

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Retrieve the market impact data from the KRG FTP site. Connect to the FTP site using theftp使用用户名和密码函数。导航到MI_Parametersfolder and retrieve the market impact data in theMI_Encrypted_Parameters.csv文件。miDatacontains the encrypted market impact date, code, and parameters.

f = ftp('ftp.kissellresearch.com','用户名','PWD'); mget(f,'MI_Encrypted_Parameters.csv'); miData = readtable('MI_Encrypted_Parameters.csv',“定界符”,。。。'，','ReadRowNames'，错误的，'ReadVariableNames',true);

Create a Kissell Research Group transaction cost analysis objectk。

K = KRG（MIDATA）;

从文件加载示例数据krgexampledata.mat, which is included with the Datafeed Toolbox™.

loadKrgexampledata

The variableTradeData出现在matlab中®workspace.

TradeDatacontains these variables:

  • 库存符号

  • Side

  • Number of shares

  • Size

  • 股票价格

  • 平均每日体积

  • Volatility

  • 数量百分比

有关示例数据的描述，请参见Kissell研究小组数据集。

Estimate timing risktrfor each stock using the Kissell Research Group transaction cost analysis objectk。Display the first three timing risk values.

tr = timingrisk（k，tradedata）;TR（1：3）
ANS = 159.05 242.37 62.88

定时风险交易成本以基点显示。

Input Arguments

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Transaction cost analysis, specified as a KRG object created using克尔格。

Trade data that describes the stocks in the transaction, specified as a table or structure.贸易must contain these variable or field names.

Variable or Field Name Description

象征

库存符号

Side

Buy or sell side

Shares

交易中的股份数量

Size

Shares in the transaction, which is a percentage of average daily trading volume

价格

股票价格

ADV

平均每日体积

Volatility

Volatility

POV

数量百分比

交易成本随贸易策略而异。timingRiskdetermines the trade strategy using these variables in this order:

  1. 数量百分比

  2. Trade time

  3. Trade schedule

To change the trade strategy from percentage of volume to trade time, remove the variablePOV在表中并添加变量TradeTimewith trade time data. To use the trade schedule strategy, remove the variableTradeTime并添加TradeSchedule和VolumeProfilevariables.

If you specify size in the trade data,timingRiskuses theSizevariable. Otherwise,timingRisk使用变量ADV和Sharesto determine the size.

For example, to create trade data as a table, enter:

贸易=表（{'XYZ'},{'买'},9300,0.06,29.68,860000,0.27,0.17,。。。'VariableNames'，{'象征''Side''Shares''Size''Price'。。。'ADV''Volatility''POV'})

To create trade data as a structure, enter:

trade.symbol = {'XYZ'}; trade.Side = {'买'}; trade.Shares = 9300; trade.Size = 0.06; trade.Price = 29.68; trade.ADV = 860000; trade.Volatility = 0.27; trade.POV = 0.17;

These examples do not represent real market data.

Data Types:struct|table

Output Arguments

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定时风险，返回为矢量。向量值对应于每个股票中每个股票的定时风险贸易。

More About

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Timing Risk

定时风险（TR）estimates the uncertainty surrounding the estimated transaction cost.

价格波动和流动性风险会产生不确定性。价格波动导致价格高于或低于预期的因素，而与订单无关。流动性风险导致市场影响成本高于或低于由于市场量而估计的。TR取决于其他市场参与者造成的数量，盘中交易模式和市场影响。TR模型是

TR = σ ⋅ 1 3 ⋅ 1 250 ⋅ S h a r e s A D V ⋅ ( 1 − P O V P O V ) ⋅ 10 4 。

σ is price volatility. 250 is the number of trading days in the year.Shares是交易的股份数量。ADV的日均成交量是股票。POV是订单的市场量或参与分数的百分比。

提示

  • 有关公式和计算的详细信息，请联系Kissell研究小组。

参考

[1]基尔，罗伯特。“交易成本分析的实用框架。”Journal of Trading。Vol. 3, Number 2, Summer 2008, pp. 29–37.

[2]基尔，罗伯特。“算法交易策略。”博士论文。福特汉姆大学，2006年5月。

[3]基尔，罗伯特。“投资过程中的TCA：概述。”Journal of Index Investing。Vol. 2, Number 1, Summer 2011, pp. 60–64.

[4] Kissell, Robert.算法交易和投资组合管理科学。马萨诸塞州剑桥：Elsevier/Academic Press，2013年。

[5] Glantz, Morton, and Robert Kissell.多资产风险建模。马萨诸塞州剑桥：Elsevier/Academic Press，2013年。

[6] Kissell, Robert, and Morton Glantz.Optimal Trading Strategies。纽约，纽约：Amacom，Inc.，2003年。

Version History

Introduced in R2016a

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