RT Journal Article
SR Electronic
T1 Grading Broker Algorithms
JF The Journal of Trading
FD Institutional Investor Journals
SP 50
OP 61
DO 10.3905/JOT.2009.4.4.050
VO 4
IS 4
A1 Leslie Boni
YR 2009
UL https://pm-research.com/content/4/4/50.abstract
AB Institutional trading desks often have accounts with multiple brokers, each offering one or more flavors of the workhorse algorithms: Implementation Shortfall, VWAP, and Volume Participation. The challenge for many traders has become not only which algorithm to use but also whose algorithm to use.TOPICS: Volatility measures, statistical methods, simulations