Back in the day, I designed, edited and helped write a book on TCA for Investment Technology Group, the leader in TCA services. The book is a primer on TCA methodology from the heyday of its development. Collaborators are listed in the preface to the volume. The coffee table format was published in a limited edition of 7,000 under ISBN 978-0-615-28516-0 and Library of Congress No. 2009924817. I have had many requests for it since then, and the print version now is scarce. Virtu aquired ITG in 2019 and has granted premission for use of the soft copy. Click below to read, but please do not redistribute off this website. Education is always a good value proposition, and this book can only help further the good work done by the Virtu team to reduce frictional costs to the institutional investor.
Almost ten years later, I began a sequel devoted to in-depth applications rather than theory and general examples. The project never came to complete fruition, but many of the chapters were completed and are available. All data were sourced from the ITG TCA Database.
