Over the last few years, transaction cost analysis has been one of the biggest areas of
investment for both the buy and sell side of the equity industry. This increased focus has led to …

Over the last few years, transaction cost analysis has been one of the biggest areas of
investment for both the buy and sell side of the equity industry. This increased focus has led to …

… of risk controlled investment building blocks to any strategy (Freyre-Sanders et al., 2001). …
, but investors also can enjoy the opportunity of higher returns (Freyre-Sanders et al., 2001). …

The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic
trading processes and current trading models, sits apart from others of its kind. Robert …

… , Deng Zhang, Shu Lin, Ken Weston, Andrew Freyre-Sanders, Mike Schultz, Lisa Sarris,
Joe Gresia, Mike Keigher, Thomas Rucinski, Alan Rubenfeld, John Palazzo, Jens Soerensen, …

… Pik voiced his concerns to several employees at JPMC, including his supervisor, Andrew
Freyre Sanders; a human resources head, John Bradley; and another employee, Walter Gubert.…

This dissertation presents the necessary techniques and framework to enable investors to
make appropriate algorithmic trading decisions given the trading goals and investment …

Despite the widespread popularity of trend-following investing, optimal trend-following in
the presence of transaction costs remains poorly understood. Existing studies on the subject …

The Markets in Financial Instruments Directive (MiFID), representing the centerpiece of the
EU Financial Service Action Plan, is intended to foster investor protection as well as market …

We study the problem of optimal trade execution in an illiquid market by minimizing the
coherent dynamic risk of the implementation shortfall. The prices of the assets are modeled as a …