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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