"Grading Broker Algorithms" by Leslie Boni

Selected Works of Leslie Boni

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Article

Grading Broker Algorithms

Journal of Trading (2009)

Leslie Boni

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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,
statistical methods,
simulations

Disciplines

Computer Sciences,
Theory and Algorithms and
Statistics and Probability

Publication Date

Fall 2009

DOI

10.3905/JOT.2009.4.4.050

Citation Information

Leslie Boni. "Grading Broker Algorithms" Journal of Trading Vol. 4 Iss. 4 (2009) p. 50 - 61
Available at: http://works.bepress.com/leslie-boni/4/