Grading Broker Algorithms

Leslie Boni

doi:10.3905/JOT.2009.4.4.050

Grading Broker Algorithms

Leslie Boni

College of Business

Research output: Contribution to journal › Article › peer-review

Abstract

Institutional trading desks often have accounts with multiple brokers, each offering one or more flavors of the workhorse algorithms: Implementation Shortfall, VWAP, and Volume Participation. The challenge for many traders has become not only which algorithm to use but also whose algorithm to use.

Original language	American English
Journal	Journal of Trading
Volume	4
DOIs	https://doi.org/10.3905/JOT.2009.4.4.050
State	Published - 2009

Keywords

Volatility measures
simulations
statistical methods

Disciplines

Computer Sciences
Theory and Algorithms
Statistics and Probability

Access to Document

10.3905/JOT.2009.4.4.050License: Unspecified

Cite this

@article{64166f12047e4c83809e71640091d706,

title = "Grading Broker Algorithms",

abstract = " Institutional trading desks often have accounts with multiple brokers, each offering one or more flavors of the workhorse algorithms: Implementation Shortfall, VWAP, and Volume Participation. The challenge for many traders has become not only which algorithm to use but also whose algorithm to use. ",

keywords = "Volatility measures, simulations, statistical methods",

author = "Leslie Boni",

note = "1. Leslie Boni 1. is an assistant professor in the finance department of the College of Business at California State University in Northridge, CA. (leslie.boni{at}csun.edu) 1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.",

year = "2009",

doi = "10.3905/JOT.2009.4.4.050",

language = "American English",

volume = "4",

journal = "Journal of Trading",

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N1 - 1. Leslie Boni 1. is an assistant professor in the finance department of the College of Business at California State University in Northridge, CA. (leslie.boni{at}csun.edu) 1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.

PY - 2009

Y1 - 2009

N2 - Institutional trading desks often have accounts with multiple brokers, each offering one or more flavors of the workhorse algorithms: Implementation Shortfall, VWAP, and Volume Participation. The challenge for many traders has become not only which algorithm to use but also whose algorithm to use.

AB - Institutional trading desks often have accounts with multiple brokers, each offering one or more flavors of the workhorse algorithms: Implementation Shortfall, VWAP, and Volume Participation. The challenge for many traders has become not only which algorithm to use but also whose algorithm to use.

KW - Volatility measures

KW - simulations

KW - statistical methods

UR - https://doi.org/10.3905/JOT.2009.4.4.050

U2 - 10.3905/JOT.2009.4.4.050

DO - 10.3905/JOT.2009.4.4.050

M3 - Article

VL - 4

JO - Journal of Trading

JF - Journal of Trading

ER -

Grading Broker Algorithms

Abstract

Keywords

Disciplines

Access to Document

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