Considerable theoretical work has been devoted to option replication in the presence of
transaction costs, and several competing methods have been advocated to improve the …

We present a formulation of the transaction cost analysis (TCA) in the Bayesian framework
for the primary purpose of comparing broker algorithms using standardized benchmarks …

This article provides a novel framework to evaluate limit order tactics that highlights
expected fill price, adverse price selection cost, and opportunity cost. We formulate the …

This paper provides a survey of dark pools, focusing on block-crossing venues. We examine
years of data from within Liquidnet's dark pool to quantify econometric characteristics of …

We present a set of models relevant for predicting various aspects of intra-day trading
volume for equities and showcase them as an ensemble that projects volume in unison. We …

Instead of using the classical block-shaped market depth to build the optimal execution
model, this work studies the constrained optimal execution problem in a limit order book …

Intraday volatility and market impact models in volume time are proposed. We build an
intraday volatility profile to capture non-stationarity of intraday price returns and utilize a …