Transaction Cost Analysis A-Z
Transaction Cost Analysis A-Z — November 2008
VI. A New Framework: the EBEX Indicators
Figure 24: Distribution of absolute EBEX by trade direction
Figure 25: Distribution of absolute EBEX by execution date
Statistics Mean
Statistics Mean
10
15
0.519459 0.538892 0.306763
0.597607 0.590401 0.239332
Median
Median
Std Deviation
Std Deviation
8
12
6
9
Percent Percent Order direction 0 2 9 12 15 B S Figure 25 shows differences between the orders that are fully executed the day of their release (1) and those that are filled later (0). As the figure shows, the quality of execution appears overall to be better for the orders that are not entirely executed the day of their release. Both the mean and the median (0.59) scores are higher for these orders and standard deviation is lower. Absolute EBEX 0 0.15 0.3 0.45 0.6 0.75 0.9 Statistics Mean 0.484207 0.503968 0.319941 Median Std Deviation 4 0 3 6
0 1
6
Percent Percent Release date = execution date 0 3 6 8 10 12
Statistics Mean
0.487830 0.498637 0.320891
Median
Std Deviation
4
2
0
0 0.15 0.3 0.45 0.6 0.75 0.9
Absolute EBEX
Figure 26 exhibits the empirical distribution of absolute EBEX by the order size categories described earlier. No large differences appear at first sight but, when focusing on statistics (not shown in figure 26), both extreme order size categories exhibit the lowest average values for the absolute EBEX (0.47 and 0.48 respectively).
81 An EDHEC Risk and Asset Management Research Centre Publication
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