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- Title
A Practitioner Perspective on Trading and the Implementation of Investment Strategies.
- Authors
Cerniglia, Joseph A.; Fabozzi, Frank J.
- Abstract
In this article, we discuss the fundamentals of the market structure and trading, along with how these impact the execution of investment strategies. From a practitioner perspective, we bring together this information to explore different models and processes to assist in achieving optimal execution of trading strategies. After providing a taxonomy of trading costs, we discuss how these costs, particularly market impact costs, are estimated and forecasted. Proposed models for optimal execution designed to get the best execution of a single trade, or sometimes a sequence of trades, are reviewed.
- Publication
Journal of Portfolio Management, 2022, Vol 48, Issue 6, p30
- ISSN
0095-4918
- Publication type
Academic Journal
- DOI
10.3905/jpm.2022.1.371