12 ms·
Is slippage minimization even a tractable problem besides applying loose heuristics derived from empirical insights, e.g., identifying reliable early-signals of
by _gmax0 2y ago
Is slippage minimization even a tractable problem besides applying loose heuristics derived from empirical insights, e.g., identifying reliable early-signals of narrowing spreads and increased liquidity for a given exchange?
- phyalow 2y agoYes it is.
- notachatbot123 2y agoWould you be so nice to bother to put some arguments under your statement? As it is, it provides very little to this discussion. Thank you!
- deleted 2y ago[deleted]
- throw88888 2y agoI have used statistical models of volatility to improve execution prices. It doesn’t require very advanced modeling to estimate a probability of e.g. getting filled at midprice (saving half the bid/ask spread) within a short time period. Just basic Bayesian with a look-back window. Execution cost is a big topic in the trading industry.
- peterpans01 2y agoCan you elaborate how did you do that?
- _gmax0 2y agoLove it, such a straightforward formulation.