A principled approach to clean-up costs in algo trading

The opportunity cost associated with the cancelled portion of an order is quantified

CLICK HERE TO DOWNLOAD THE PDF

The unbiased estimation of the cleanup cost – the opportunity cost associated with the cancelled portion of an order – is an essential component of transaction cost analysis in algorithmic trading. Petter Kolm and Nicholas Westray propose a practical and computationally efficient methodology to assign a value for the cleanup cost. This approach is also useful in other settings where market data needs to be properly adjusted for realised impact

Tracing its roots

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

Regulation

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: