A Spectral Model of Turnover Reduction
AbstractWe 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. View Full-Text
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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.Chicago/Turabian Style
Kakushadze, Zura. 2015. "A Spectral Model of Turnover Reduction." Econometrics 3, no. 3: 577-589.