▲ 22 r/quant
Taking Strategies
I have recently joined a firm that trades almost 100% passively. I have been tasked with finding ways to cross the spread and execute more aggressively.
Allot of the literature I have found on optimal execution seems to be based around optimised scheduling based on Almgren & Chriss market impact. I have found that taking using this scheduling under performs the baseline passive strategy.
What other methods should I be using to determine if and when to cross the spread?
u/QuestionableQuant — 1 day ago