08:5208:52, 22 May 2015diffhist+483
Algorithmic trading
"black box" trading is a subset of trading strategies, not a broad generic term for algorithmic execution. Market-making / arb != "investment".
06:4306:43, 30 May 2014diffhist+82
m
Implementation shortfall
→Decision Price: For execution algorithms, beating implementation shortfall as a benchmark is /highly/ unlikely and minimising slippage is a better framing for the problem. VWAP and TWAP are frequently used benchmarks that deserve a mention.
08:5208:52, 22 May 2015diffhist+483
Algorithmic trading
"black box" trading is a subset of trading strategies, not a broad generic term for algorithmic execution. Market-making / arb != "investment".
06:4306:43, 30 May 2014diffhist+82
m
Implementation shortfall
→Decision Price: For execution algorithms, beating implementation shortfall as a benchmark is /highly/ unlikely and minimising slippage is a better framing for the problem. VWAP and TWAP are frequently used benchmarks that deserve a mention.