Cutting edge introduction: Hidden models for hidden costs

NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets

techtree2

Trading is not just about knowing which positions to take. Markets introduce friction in the form of transaction costs and larger trades have a tendency to push the market away – an effect called market impact. Sequencing trades optimally to reduce these costs is a computationally intensive process and most of the time firms end up doing it trade by trade instead.

In our first technical, Multiperiod portfolio selection and Bayesian dynamic models, Petter Kolm, a professor of mathematics at the

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...

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: