smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2024SMQ / 100388186366837
Position-building in competition with real-world constraints
Neil A. Chriss
optimization / transaction costsResource overview

Position-building in competition with real-world constraints

Paper2024

by Neil A. Chriss

Tags
optimizationtransaction costs

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for market microstructure and execution and optimisation and numerical methods. Specialist prerequisites vary by paper.

Before you read

  1. Order Books

    Read bid, ask, depth and queue-based market state.

  2. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

  3. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  4. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

Go further

  1. Market Impact

    Connect trading speed and size to execution cost.

  2. Implementation Shortfall

    Measure execution relative to the decision price.

  3. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Market Microstructure and Execution Explore Linear Algebra, Optimisation and Numerical Methods

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Neil A. Chriss

3