Transaction costs
Bitcoin technology finds new uses in finance
Using blockchain should drastically speed up post-trade settlement
Notes on alpha stream optimization
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).
Hirani, Masters and Wilson apply bitcoin to settlement risk
Derivatives market pioneers co-opt bitcoin tech in bid to transform mainstream markets
Cutting edge introduction: Hidden models for hidden costs
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Multiperiod portfolio selection and Bayesian dynamic models
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
Bitcoin technology could slash transaction risk in banking
Using cryptography to validate transactions may transform finance
Optimal trading under proportional transaction costs
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a universal law through trading algorithm design
Hedge funds face automation challenge
Automation challenge
Trading costs force focus on maximising efficiency
Counting the cost
Mean reversion pays, but costs
Mean reversion pays, but costs
BP oil spill creates long-term oil risk management issues
BP’s Gulf of Mexico oil spill forces risk managers to look at long-term margin costs and soaring oil prices post-2012
Looking to the new horizon
Can a firm cut costs while increasing operational risk controls? This is just one of the many challenges facing the investment industry.
Value under liquidation
Liquidity