Own Price Impact

ITG has an interesting read on “Alpha- Optimized Trading Schedules: Identifying Own Price Impact in Realized Returns”, and alpha patterns.

a framework to decompose the implementation shortfall cost of a realized trading schedule into a cost component due to the projected general market movement and trades of other market participants, and a cost component capturing the impact of own trades. We then present a methodology that simulates alternative hypothetical trading strategies and optimizes the client’s trading aggressiveness. The gains from accommodating the intraday alpha patterns of the fund managers’ executions lead to a significant reduction in the trading costs both in- and out-of-sample in most scenarios.

The net out is the definition of a post-trade framework that delivers a flexible and accurate tool for post-trade analysis and cost attribution


~ by mdavey on April 5, 2013.

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