The Variation in Implementation Shortfall Performance for US Financial Market

Student: Plyasova Mariya

Supervisor: Mikhail Kamrotov

Faculty: Faculty of World Economy and International Affairs

Educational Programme: Bachelor

Year of Graduation: 2014

<p>Scientific paper is devoted to transactional cost analysis of trading algorithms in US stock market. There was carried out analysis  of the reasons of deviation between execution price and price at the time of decision to short/long a stock. Author provides classification of transactional costs and its quantitative aspects. In the final part of the paper, there is a hypothesis testing of of negative impact of alpha losses on execution price of a stock and it is provided author's estimations of alpha-losses.</p>

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