2 papers
q-fin.TR2019
Bayesian Trading Cost Analysis and Ranking of Broker Algorithms
Vladimir Markov
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…
q-fin.TR2019
Quintet Volume Projection
Vladimir Markov, Olga Vilenskaia, Vlad Rashkovich
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 intr…