Optimal Trading Strategy
February 5, 2010
[2-1-10] read up to chp 8, so far nothing solid, but start touch something interesting with dealer model and timing risk.
Robert Kissell( one of the author of OTS) is actually a ED at JPM quant trading team, here is an internal paper. see also ‘expanded implementation shortfall’ below.
’05 articles about pre-trade analytics offered by citi, feature almgren