Chapter 15: Advanced Algorithmic Modeling Techniques
Introduction
This chapter introduces readers to advanced algorithmic forecasting techniques. We begin by reformulating our transaction cost equations in terms of the various trading strategy definitions, such as percentage of volume (POV) , trade rate, and trade schedules, and calibrate the parameters for these model variations. Estimated market impact costs for each approach are compared for the different data samples.
The chapter continues with an overview of the various transaction equations that are utilized to construct the efficient trading frontier (ETF) and to develop optimal “best execution” strategies. All of which are essential building blocks for traders and portfolio managers ...
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