Concepedia

Execution Cost Analysis

Execution Cost Analysis is a methodological framework in algorithmic trading that quantifies the total costs incurred during trade execution by decomposing them into explicit and implicit components, distinguishing it from broader transaction cost analysis through its focused emphasis on the price impact and timing efficiency of executed orders.

237

Publications

18.6K

Citations

610

Authors

319

Institutions

Publications per year

2017–2026

69

Parents

Publications

237

Optimal execution of portfolio transactions

Robert Almgren, Neil Chriss · The Journal of Risk · 2001 · 1.6K citations

, , +17

Optimal control of execution costs

Dimitris Bertsimas, Andrew W. Lo · Journal of Financial Markets · 1998 · 1.1K citations

, , +8

Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE

Roger D. Huang, Hans R. Stoll · Journal of Financial Economics · 1996 · 1.1K citations

, , +14

Multiple-query optimization

Timos Sellis · ACM Transactions on Database Systems · 1988 · 809 citations · Full text

, , +15

The Behavior of Stock Prices Around Institutional Trades

Louis K.C. Chan, Josef Lakonishok · The Journal of Finance · 1995 · 795 citations

, , +16

1–5 of 237

Authors

610

  1. HB
    Hendrik Bessembinder

    Arizona State University, United States

    8 publications · 1.9K citations

    8

    h-index

  2. AF
    Alex Frino

    The University of Sydney, Australia

    4 publications · 152 citations

    4

    h-index

  3. TS
    Timos Sellis

    National Technical University of Athens, Greece

    4 publications · 1.1K citations

    4

    h-index

  4. WH
    Wen‐mei Hwu

    University of Illinois Urbana-Champaign, United States

    3 publications · 91 citations

    3

    h-index

  5. PK
    Pushmeet Kohli

    Microsoft Research (United Kingdom), United Kingdom

    3 publications · 57 citations

    3

    h-index

1–5 of 610

Institutions

319

  1. The University of Sydney

    Sydney, Australia

    7 h-index

    10 publications

    335 citations

  2. Arizona State University

    Tempe, United States

    6 h-index

    11 publications

    976 citations

  3. University of California, Berkeley

    Berkeley, United States

    5 h-index

    11 publications

    277 citations

  4. The University of Melbourne

    Melbourne, Australia

    4 h-index

    8 publications

    401 citations

  5. Google (United States)

    Mountain View, United States

    4 h-index

    17 publications

    545 citations

  6. University of Illinois Urbana-Champaign

    Urbana, United States

    4 h-index

    10 publications

    286 citations

  7. Carleton University

    Ottawa, Canada

    3 h-index

    7 publications

    305 citations

  8. University College Dublin

    Dublin, Ireland

    3 h-index

    7 publications

    216 citations

1–8 of 319

Venues

  1. SSRN Electronic Journal

    Repository · 15 publications · 847 citations

    14

    h-index

  2. 7

    h-index

  3. ACM SIGPLAN Notices

    5 publications · 84 citations

    5

    h-index

  4. Journal of Financial Markets

    5 publications · 1.7K citations

    5

    h-index

  5. Software Testing Verification and Reliability

    STVR · 4 publications · 817 citations

    4

    h-index

1–5