MATLAB Adds Transaction Cost Analysis with Kissell Research Group Models
Source: NATICK
MATLAB Adds Transaction Cost Analysis with Kissell Research Group Models
Now, traders and fund managers involved with large transactions of exchange-traded instruments can use Trading Toolbox for back testing and real-time execution.
Provides functions within Trading Toolbox for estimating trading costs, performing trading analytics, and optimizing trading strategies
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.
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Trading Toolbox: plot of the trading and liquidation costs, volatility, and order size of the stocks ...
Trading Toolbox: plot of the trading and liquidation costs, volatility, and order size of the stocks in a sample portfolio consisting of 100 stocks. (Photo: Business Wire)
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.
About Kissell Research Group
Kissell Research Group (KRG) is a premier global transaction cost analysis and market microstructure firm. KRG provides financial institutions with quantitative analysis and insight into the current trading cost environment, offering improved portfolio construction, and ultimately leading to the best execution. KRG’s independent analysis measures overall execution quality and broker dealer/algorithm performance. The firm assists funds to determine which brokers and algorithms perform best in various situations, and determines where the fund ranks with regards to its peers. KRG utilizes a fully transparent methodology. Its expanded trading performance analysis helps funds address regulatory requirements. For additional information, visit kissellresearch.com.
About MathWorks
MathWorks is the leading developer of mathematical computing software. MATLAB, the language of technical computing, is a programming environment for algorithm development, data analysis, visualization, and numeric computation. Simulink is a graphical environment for simulation and Model-Based Design for multidomain dynamic and embedded systems. Engineers and scientists worldwide rely on these product families to accelerate the pace of discovery, innovation, and development in automotive, aerospace, electronics, financial services, biotech-pharmaceutical, and other industries. MATLAB and Simulink are also fundamental teaching and research tools in the world’s universities and learning institutions. Founded in 1984, MathWorks employs more than 3500 people in 15 countries, with headquarters in Natick, Massachusetts, USA. For additional information, visit mathworks.com.
MATLAB and Simulink are registered trademarks of The MathWorks, Inc. See mathworks.com/trademarks for a list of additional trademarks. Other product or brand names may be trademarks or registered trademarks of their respective holders.
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