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- W1656563301 abstract "We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest eigenvalue and the corresponding eigenvector of the alpha correlation matrix." @default.
- W1656563301 created "2016-06-24" @default.
- W1656563301 creator A5019796246 @default.
- W1656563301 date "2014-01-01" @default.
- W1656563301 modified "2023-09-25" @default.
- W1656563301 title "Spectral Model of Turnover Reduction" @default.
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- W1656563301 doi "https://doi.org/10.2139/ssrn.2427049" @default.
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