通过日内执行成本建模优化经纪商绩效评估

Zoltan Eisler, Johannes Muhle-Karbe
{"title":"通过日内执行成本建模优化经纪商绩效评估","authors":"Zoltan Eisler, Johannes Muhle-Karbe","doi":"arxiv-2405.18936","DOIUrl":null,"url":null,"abstract":"Minimizing execution costs for large orders is a fundamental challenge in\nfinance. Firms often depend on brokers to manage their trades due to limited\ninternal resources for optimizing trading strategies. This paper presents a\nmethodology for evaluating the effectiveness of broker execution algorithms\nusing trading data. We focus on two primary cost components: a linear cost that\nquantifies short-term execution quality and a quadratic cost associated with\nthe price impact of trades. Using a model with transient price impact, we\nderive analytical formulas for estimating these costs. Furthermore, we enhance\nestimation accuracy by introducing novel methods such as weighting price\nchanges based on their expected impact content. Our results demonstrate\nsubstantial improvements in estimating both linear and impact costs, providing\na robust and efficient framework for selecting the most cost-effective brokers.","PeriodicalId":501478,"journal":{"name":"arXiv - QuantFin - Trading and Market Microstructure","volume":"117 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost\",\"authors\":\"Zoltan Eisler, Johannes Muhle-Karbe\",\"doi\":\"arxiv-2405.18936\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Minimizing execution costs for large orders is a fundamental challenge in\\nfinance. Firms often depend on brokers to manage their trades due to limited\\ninternal resources for optimizing trading strategies. This paper presents a\\nmethodology for evaluating the effectiveness of broker execution algorithms\\nusing trading data. We focus on two primary cost components: a linear cost that\\nquantifies short-term execution quality and a quadratic cost associated with\\nthe price impact of trades. Using a model with transient price impact, we\\nderive analytical formulas for estimating these costs. Furthermore, we enhance\\nestimation accuracy by introducing novel methods such as weighting price\\nchanges based on their expected impact content. Our results demonstrate\\nsubstantial improvements in estimating both linear and impact costs, providing\\na robust and efficient framework for selecting the most cost-effective brokers.\",\"PeriodicalId\":501478,\"journal\":{\"name\":\"arXiv - QuantFin - Trading and Market Microstructure\",\"volume\":\"117 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-05-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Trading and Market Microstructure\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2405.18936\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Trading and Market Microstructure","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2405.18936","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0

摘要

尽量降低大额订单的执行成本是金融业面临的一项基本挑战。由于优化交易策略的内部资源有限,企业通常依赖经纪人管理其交易。本文介绍了一种利用交易数据评估经纪人执行算法有效性的方法。我们重点关注两个主要成本组成部分:一个是衡量短期执行质量的线性成本,另一个是与交易价格影响相关的二次成本。利用瞬时价格影响模型,我们得出了估算这些成本的分析公式。此外,我们还引入了一些新方法,如根据预期影响内容对价格变化进行加权,从而提高了估算的准确性。我们的研究结果表明,在估算线性成本和影响成本方面都有了实质性的改进,为选择最具成本效益的经纪人提供了一个稳健高效的框架。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost
Minimizing execution costs for large orders is a fundamental challenge in finance. Firms often depend on brokers to manage their trades due to limited internal resources for optimizing trading strategies. This paper presents a methodology for evaluating the effectiveness of broker execution algorithms using trading data. We focus on two primary cost components: a linear cost that quantifies short-term execution quality and a quadratic cost associated with the price impact of trades. Using a model with transient price impact, we derive analytical formulas for estimating these costs. Furthermore, we enhance estimation accuracy by introducing novel methods such as weighting price changes based on their expected impact content. Our results demonstrate substantial improvements in estimating both linear and impact costs, providing a robust and efficient framework for selecting the most cost-effective brokers.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
期刊最新文献
Optimal position-building strategies in Competition MarS: a Financial Market Simulation Engine Powered by Generative Foundation Model Logarithmic regret in the ergodic Avellaneda-Stoikov market making model A Financial Time Series Denoiser Based on Diffusion Model Simulation of Social Media-Driven Bubble Formation in Financial Markets using an Agent-Based Model with Hierarchical Influence Network
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1