Chapter 18: Transaction Costs

Implementation Shortfall and Transaction Cost Analysis intermediate

"The total cost of trading is the difference between the initial book value and the capture." -- Almgren and Chriss (2001)

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References

Market Microstructure: A Practitioner's Guide

Ananth Madhavan (2002) — Financial Analysts Journal

A Practitioner Perspective on Trading and the Implementation of Investment Strategies

Joseph A. Cerniglia, Frank J. Fabozzi (2022) — The Journal of Portfolio Management

Optimal execution of portfolio transactions

Robert Almgren, Neil Chriss (2001) — The Journal of Risk

Trading Costs

Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz (2018)

Chapter