Optimal execution of portfolio transactions
IntermediateIntradayLFTTheoryTestable with your data
The mean-variance trade-off between impact cost and timing risk gives an efficient frontier of execution schedules. The model behind most implementation-shortfall algos.
At a glance
- Level
- Intermediate: Comfortable with statistics, regressions and basic probability models
- Horizon
- Intraday, LFT
- Data needed
- None to read it; no dataset required Set what data you have
- Themes
- ExecutionPrice impact
- Assets
- Equities
- Market
- Global