Optimising broker evaluation through intraday modelling of execution cost
A method to assess brokers’ performance via their market impact is presented
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Minimising 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 optimising trading strategies. This paper presents a methodology for evaluating the effectiveness of broker execution algorithms using trading data. Zoltán Eisler and Johannes Muhle-Karbe focus on
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