A spectral model of turnover reduction

We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest eigenvalue and the corresponding eigenvector of the alpha correlation matrix.

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Year of publication:	2015
Authors:	Kakushadze, Zura
Published in:	Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 3.2015, 3, p. 577-589
Publisher:	Basel : MDPI
Subject:	hedge fund \| alpha stream \| crossing trades \| transaction costs \| portfolio turnover \| correlation structure \| large N limit

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/econometrics3030577 [DOI] 845473468 [GVK] hdl:10419/171840 [Handle]
Classification:	G00 - Financial Economics. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10011755294