Optimal turnover, liquidity and autocorrelation

A novel optimal execution approach via continuous-time stochastic processes is introduced

CLICK HERE TO DOWNLOAD THE PDF

The steady-state turnover of a trading strategy is of interest to practitioners and portfolio managers, as is the steady-state Sharpe ratio. In this paper, Bastien Baldacci, Jerome Benveniste and Gordon Ritter show that, in a convenient Gaussian process model, the steady-state turnover can be computed explicitly and is clearly related to the liquidity of the asset and to the autocorrelation of the alpha forecast signals

One of the central problems faced by

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

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