Using a proprietary dataset of institutional investors' equity transactions, we document that
institutional trading desks can sustain relative performance over adjacent periods. We find …

The explosion of algorithmic trading has been one of the most pro-minent recent trends in
the financial industry. Algorithmic trading consists of automated trading strategies that …

We consider the optimal liquidation of a position of stock (long or short) where trading has a
temporary market impact on the price. The aim is to minimize both the mean and variance of …

In this paper, we present a new methodology for modelling intraday volume, which allows for
a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The …

This paper shows that the widely documented buy–sell asymmetry in implicit institutional
trading cost is mainly driven by mechanical characteristics of a specific class of measures …

Algorithmic Trading and Quantitative Strategies provides an in-depth overview of this
growing field with a unique mix of quantitative rigor and practitioner's hands-on experience …

Using a novel database on venue short sales and market design characteristics, we ask:
Where do short sellers exploit their information advantage? Consistent with the prediction of …

With the popularization of the concept of quantitative investment and the introduction of stock
index futures in China, the research on the quantitative trading strategies of stock index …

Half‐hour returns predict same‐half‐hour returns on subsequent days. We hypothesize that
this is due to institutional traders who execute their parent orders over multiple days …

This article proposes an empirically tractable way to incorporate intra-day noise into a VWAP
trading rule. In volatile markets, news arrives unexpectedly and rapidly. This should …