The Science of Algorithmic Trading and Portfolio Management, with its emphasis on
algorithmic trading processes and current trading models, sits apart from others of its kind …

This article discusses the pros and cons of automated high-frequency trading (HFT). There
appears to be much confusion of whether HFT is “good, bad, or ugly.” In the terminology of …

Financial institutions specifically banks and small businesses have encountered difficulty in
sustaining their ability to remain stable during the financial crisis. During this period most …

We propose a transaction cost analysis (TCA) portfolio optimization procedure that
incorporates transaction costs directly into the problem of the objective function of portfolio …

In this article, the authors present a pretrade model and transaction cost functions that can
be run in Excel and MATLAB. Currently, investors who use pretrade transaction cost …

Closed-end mutual funds present a long-standing puzzle for financial economists because
they so commonly trade at substantial discounts to their net asset value (NAV)(or …

In this paper we present a machine learning technique that can be used in conjunction with
multi-period trade schedule optimization used in program trading. The technique is based …