Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost

By Zoltán Eisler, Johannes Muhle-Karbe

Published 2024-06-05

Everscope rating

1594.3

Relevance to quantitative trading

9 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Analytical modeling and numerical simulation. Problem types: Regression, Time Series Analysis, Algorithmic Execution.

arXiv:2405.18936 · Paper rankings

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