PT - JOURNAL ARTICLE AU - Robert Kissell AU - Roberto Malamut TI - Understanding the Profit and Loss Distribution of Trading Algorithms DP - 2005 Mar 20 TA - Trading PG - 41--49 VI - 2005 IP - 1 4099 - http://guides.pm-research.com/content/2005/1/41.short 4100 - http://guides.pm-research.com/content/2005/1/41.full AB - With the advent of algorithmic trading, it is essential that investors become more proactive in the decision-making process to ensure selection of the most appropriate algorithm. Investors need to specify benchmark price, implementation goal, and preferred deviation strategy (i.e., how the optimally prescribed algorithm is to react to changing market conditions or prices). In this article the authors describe an analytical process to assess the impact of these decisions on the profit and loss distribution of the algorithm.