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Quantitative Finance · Glossário

O que é Efficient trading frontier?

Definition 14.7 Microstructure and Execution · Capítulo 14 — The Almgren–Chriss Framework

The efficient trading frontier is the set of (risk, expected cost) pairs of the optimal trajectories as the risk aversion varies: no schedule has both lower risk and lower expected cost than a point on it.

Selling 1 million shares by the close. Left: optimal trajectories for several urgencies (per day). Right: the efficient frontier, with the optimum for =10-6, the time-weighted schedule, and schedules twice too patient and twice too hurried. Data: mx_ac.block_study, fig_ac.py.
Figure 14.1. Selling 1 million shares by the close. Left: optimal trajectories for several urgencies (per day). Right: the efficient frontier, with the optimum for λ=10−6\lambda=10^{-6}, the time-weighted schedule, and schedules twice too patient and twice too hurried. Data: mx_ac.block_study, fig_ac.py.
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