Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost
By Zoltán Eisler, Johannes Muhle-Karbe
Rating
1528
Battle Count: 91
Relevance
9/10
Directly applicable to improving broker selection and trading cost analysis in quantitative trading
Implementation Complexity
6/10
Requires understanding of stochastic calculus and price impact models, but implementation of estimators is straightforward
Reproducibility
4/5
Detailed analytical derivations provided in online appendix, simulation parameters clearly stated
About this paper
Methodology: Analytical modeling and numerical simulation. Problem types: Regression, Time Series Analysis, Algorithmic Execution.
The interactive Everscope explorer (charts, battles, favorites) loads below.