Articles by Johannes Muhle-Karbe
Optimising broker evaluation through intraday modelling of execution cost
A method to assess brokers’ performance via their market impact is presented
FX固定手法の比較
FXのフィキシングの結果は、ほとんどが計算ウィンドウの長さによって左右されます。
The cost of mis-specifying price impact
Expected returns can be significantly affected by the wrong use of impact models