英文标题：
《Bayesian Trading Cost Analysis and Ranking of Broker Algorithms》
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作者：
Vladimir Markov
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最新提交年份：
2019
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英文摘要：
  We present a formulation of the transaction cost analysis (TCA) in the Bayesian framework for the primary purpose of comparing broker algorithms using standardized benchmarks. Our formulation allows effective calculation of the expected value of trading benchmarks with only a finite sample of data relevant to practical applications. We discuss the nature of distribution of implementation shortfall, volume-weighted average price, participation-weighted price and short-term reversion benchmarks. Our model takes into account fat tails, skewness of the distributions and heteroscedasticity of benchmarks. The proposed framework allows the use of hierarchical models to transfer approximate knowledge from a large aggregated sample of observations to a smaller sample of a particular algorithm.
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中文摘要：
我们在贝叶斯框架中提出了一种交易成本分析（TCA）公式，其主要目的是使用标准化基准比较经纪人算法。我们的公式允许仅使用与实际应用相关的有限样本数据有效计算交易基准的预期值。我们讨论了实施缺口、成交量加权平均价格、参与加权价格和短期回归基准的分布性质。我们的模型考虑了厚尾、分布的偏斜和基准的异方差。该框架允许使用层次模型将近似知识从一个大的聚合观测样本转移到一个小的特定算法样本。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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