Main Content

Estimate uncertainty of market impact cost

returns the uncertainty of the market impact cost estimate, or timing
risk. `tr`

= timingRisk(`k`

,`trade`

)`timingRisk`

uses the
Kissell Research Group (KRG) transaction cost analysis 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] Glantz, Morton, and Robert Kissell. *Multi-Asset
Risk Modeling*. Cambridge, MA: Elsevier/Academic Press,
2013.

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

`iStar`

| `krg`

| `liquidityFactor`

| `marketImpact`

| `priceAppreciation`