We analyze the prevailing approach to estimating implicit trade costs and suggest improvements
that create greater precision. Our model studies buy-side parent orders to prove that …

We present a set of models relevant for predicting various aspects of intra-day trading
volume for equities and showcase them as an ensemble that projects volume in unison. We …

Inability to accurately project transaction cost is one of the main drags on alpha and performance
for bond investors. We introduce a framework for bond trade cost analysis that reflects …

We present a formulation of the transaction cost analysis (TCA) in the Bayesian framework
for the primary purpose of comparing broker algorithms using standardized benchmarks. Our …

Trader performance is currently measured against various benchmarks without consideration
for the volatility of trading results. The author introduces trader alpha frontier (TAF) as a …

Since the introduction of Trader Alpha Frontier, this framework has been adopted by asset
managers of all sizes, to monitor their trading performance. The next logical step is for Chief …

A research of the dependence of Lesnaya Opytnaya Dacha (LOD) soil properties on the
varieties of the woody vegetation grown on these soils has been conducted. Measurements of …

This article presents a practitioner's view of the evidence on the predictability of US bond
returns, using forward rates found in the academic literature. The author examines this …

Crystallization is one of the most important physicochemical processes. Crystal structure
determines most of properties of substances in the condensed state; this is why the modern …

If a large amount of capital is linked to an index, changes to the index impact realized fund
returns even when fund returns match the index. These hidden costs occur because funds …