Using high-frequency data to estimate market impact costs of implementation of factor investing strategies

This research aims to conduct transaction cost analysis (TCA) of popular factor investment strategies (value, momentum, size) using intraday tick data. While trading over short-term and investment over long-term has been separate operations historically, the implementation trading cost can be a huge drag on the long-term investment performance. Therefore we would want to simultaneously consider the long term portfolio construction and the short-term execution costs of actually rebalancing the portfolio. TCA can help us in achieving the joint decisions.

Faculty Supervisor:

Donglei Du;Chunhua Lan

Student:

Partner:

Vestcor

Discipline:

Business

Sector:

Finance and Insurance

University:

University of New Brunswick

Program:

Accelerate

Current openings

Find the perfect opportunity to put your academic skills and knowledge into practice!

Government

International

Load More

International

Load More