Related papers: Transaction Cost Analytics for Corporate Bonds
We present a formulation of the transaction cost analysis (TCA) in the Bayesian framework for the primary purpose of comparing broker algorithms using standardized benchmarks. Our formulation allows effective calculation of the expected…
Minimizing execution costs for large orders is a fundamental challenge in finance. Firms often depend on brokers to manage their trades due to limited internal resources for optimizing trading strategies. This paper presents a methodology…
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…
Abundant examples of complex transaction-oriented networks (TONs) can be found in a variety of disciplines, including information and communication technology, finances, commodity trading, and real estate. A transaction in a TON is executed…
This paper investigates the impact of Trade Policy Uncertainty (TPU) on stock-bond correlation dynamics in the United States. Using daily data on major U.S. stock indices and the 10-year Treasury bond from 2015 to 2025, we estimate…
The influence of Commodity Trading Advisors (CTA) on the price process is explored with the help of a simple model. CTA managers are taken to be Kelly optimisers, which invest a fixed proportion of their assets in the risky asset and the…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
Trading in Over-The-Counter (OTC) markets is facilitated by broker-dealers, in comparison to public exchanges, e.g., the New York Stock Exchange (NYSE). Dealers play an important role in stabilizing prices and providing liquidity in OTC…
We propose a framework for analysing transmission channels in a large class of dynamic models. We formulate our approach both using graph theory and potential outcomes, which we show to be equivalent. Our method, labelled Transmission…
A corporate bond trader in a typical sell side institution such as a bank provides liquidity to the market participants by buying/selling securities and maintaining an inventory. Upon receiving a request for a buy/sell price quote (RFQ),…
Given ongoing, human-induced, loss of wild species we propose the Target and Cost Analysis (TCA) approach as a means of incorporating biodiversity within government appraisals of public spending. Influenced by how carbon is priced in…
In today's competitive environment, profitability analysis is not just about looking at the profit and loss statement. It is more about knowing which of your customers are making you money and which are losing you money. This paper…
Tradable credit schemes (TCS) have been attracting interest from the transportation research community as an appealing alternative to congestion pricing, due to the advantages of revenue neutrality and equity. Nonetheless, existing research…
We present a preliminary proposal for an analytical model for evaluating the impact on performance of data access patterns in concurrent transaction execution. We consider the case of concurrency control protocols that use locking to ensure…
The telecommunications and financial services industries face substantial challenges in inter-operator settlement processes, characterized by extended reconciliation cycles, high transaction costs, and limited real-time transparency.…
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the price dynamics of traded securities one needs to solve a…
In the Bitcoin system, transaction fees serve as an incentive for blockchain confirmations. In general, a transaction with a higher fee is likely to be included in the next block mined, whereas a transaction with a smaller fee or no fee may…
This dissertation addresses the challenge of ensuring transactional integrity and reducing costs in corporate governance through blockchain technology. We propose an on-chain methodology for certifying, registering, and querying…
Recent studies document strong empirical support for multifactor models that aim to explain the cross-sectional variation in corporate bond expected excess returns. We revisit these findings and provide evidence that common factor pricing…
Tradable mobility credit (TMC) schemes are an approach to travel demand management that have received significant attention in recent years. This paper proposes and analyzes alternative market models for a TMC system -- focusing on market…