A Spectral Model of Turnover Reduction
Quantigic® Solutions LLC, 1127 High Ridge Road #135, Stamford, CT 06905, USA
Business School & School of Physics, Free University of Tbilisi, 240, David Agmashenebeli Alley, Tbilisi 0159, Georgia
Academic Editor: Kerry Patterson
Received: 27 March 2015 / Revised: 26 June 2015 / Accepted: 24 July 2015 / Published: 29 July 2015
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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MDPI and ACS Style
Kakushadze, Z. A Spectral Model of Turnover Reduction. Econometrics 2015, 3, 577-589.
Kakushadze Z. A Spectral Model of Turnover Reduction. Econometrics. 2015; 3(3):577-589.
Kakushadze, Zura. 2015. "A Spectral Model of Turnover Reduction." Econometrics 3, no. 3: 577-589.
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