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.
Year of publication: |
2014-04
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Authors: | Kakushadze, Zura |
Institutions: | arXiv.org |
Saved in:
freely available
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