Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced
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The steady-state turnover of a trading strategy is of interest to practitioners and portfolio managers, as is the steady-state Sharpe ratio. In this paper, Bastien Baldacci, Jerome Benveniste and Gordon Ritter show that, in a convenient Gaussian process model, the steady-state turnover can be computed explicitly and is clearly related to the liquidity of the asset and to the autocorrelation of the alpha forecast signals
One of the central problems faced by
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