In this paper the authors investigate how fixed-fee transaction costs affect portfolio rebalancing.
Internal liquidity aggregator helps cut credit trading costs
Using blockchain should drastically speed up post-trade settlement
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).
Derivatives market pioneers co-opt bitcoin tech in bid to transform mainstream markets
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
Using cryptography to validate transactions may transform finance
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a universal law through trading algorithm design
Counting the cost
Mean reversion pays, but costs
Can a firm cut costs while increasing operational risk controls? This is just one of the many challenges facing the investment industry.
BP’s Gulf of Mexico oil spill forces risk managers to look at long-term margin costs and soaring oil prices post-2012