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Quantitative Finance · Glosario

¿Qué es Broker scorecard?

Definition 20.4 Microstructure and Execution · Capítulo 20 — The Buy-Side Trading Desk and Its Brokers

A broker scorecard is the desk’s periodic report on each broker: orders and value traded, costs against the agreed benchmarks raw and adjusted for difficulty with their standard errors, and softer measures (service, capital commitment, the quality of block liquidity), from which the desk sets next period’s allocation.

brokerordersraw costadjusted costs.e.rank
broker 11 17515.415.10.91
broker 21 24616.717.70.92
broker 31 17118.618.70.93
broker 41 16921.921.00.95
broker 51 20720.520.60.84
broker 61 23222.922.70.86
Table 20.1. A year of the uniform wheel as a scorecard: costs in basis points at the average difficulty, with robust standard errors. The true effects are 0, 3, 4, 5, 6 and 8 basis points above broker 1. Data: mx_wheel.card.
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