We perform an empirical study of a set of large institutional orders executed in the US equity
market. Our results validate the hidden order arbitrage theory proposed by Farmer et al. […

With the proliferation of high-frequency trading (HFT), understanding the effects of HFT on
market quality and the opportunities that HFT creates for long-term (LT) investors is important …

In the last few years we have seen an explosion in the number of small-order dark pools,
leading to much talk about fragmentation. In fact this concern is misplaced: liquidity pools are …

The current low volatility environment keeps trading costs low. But what if volatility increases?
In this paper, we discuss how an increase in volatility will affect execution strategies and …

A smart beta portfolio that tracks an explicit smart beta index has two performance benchmarks:
the smart beta index itself and a cap-weighted index that represents the broader equity …

We investigate a superdiffusive behavior found in a quasiclassical model of a square-planar
superlattice subjected to a perpendicular magnetic field. It is shown that certain accelerated …

In this article, we use execution data from the Goldman Sachs algorithmic trading desk to
compare the performance of VWAP and shortfall algorithms. Our analysis shows that the two …

We investigate a superdiffusive behavior found in a quasiclassical model of a square planar
superlattice subjected to a perpendicular magnetic field. It is shown that certain accelerated …

In this article, we use execution data from the Goldman Sachs algorithmic trading desk to
compare the performance of VWAP and shortfall algorithms. Our analysis shows that the two …

In this paper we focus on the problem of estimating a bounded density using a finite combination
of densities from a given class. We consider the Maximum Likelihood Estimator (MLE) …