Presents information on a study which examined the performance of hedge funds and
managed futures funds during the 1982 to 1996. Performance measures; Hedge funds and …

This study investigates the determinants of liquidity and execution probability in an
exchange operated dark pool. We analyse a unique set of data collated from the Australian …

A great deal of academic and theoretical work has been dedicated to optimal liquidation of
large orders these last twenty years. The optimal split of an order through time (optimal trade …

I model the decision of whether or not to use a crossing network (CN) or a traditional quoting
exchange (QE) and derive hypotheses regarding the factors that affect this decision. I test …

The availability of liquidity in dark pools raises questions about the adverse selection,
market impact, and opportunity cost of executions into such pools. With the new method of …

Transaction cost analysis (TCA) has been receiving increased attention as an essential
element in minimizing trading costs and achieving best execution. In this article, Gomes and …

This article proposes a practical and computationally efficient methodology to assign a value
for clean-up cost, the opportunity cost associated with the cancelled portion of an order …

We propose a design for schedule-based execution trading strategies based on uncertainty
bands. This formulation: 1) simplifies strategy specification and implementation; 2) provides …

A third wave of technological change is taking root at the institutional trading desk, known as
“alpha profiling”. Traders submit orders to prediction models that estimate the relative …

The article derives a model with a closed form solution for valuing default swaps including
reference asset—counterparty default correlation. The default correlation between the …