Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Execution coupling?

Definition 14.2 Strategies I: Equities and Futures · Hoofdstuk 14 — Intraday Machine-Learned Alphas

Execution coupling is the design of an intraday strategy’s orders from its forecast: crossing the spread only when the forecast exceeds the cost of crossing, resting passively when it does not, and sizing and cancelling orders as the forecast changes, so that the alpha and the execution are one decision.

Machine-learned forecasts of the synthetic tape’s mid-price. Left: out-of-sample R-squared by horizon. Right: P&L per share of the boosted-tree forecasts on six test hours, traded aggressively, passively, or coupled (aggressive only above the spread). Data: s1_intraml.
Figure 14.1. Machine-learned forecasts of the synthetic tape’s mid-price. Left: out-of-sample R-squared by horizon. Right: P&L per share of the boosted-tree forecasts on six test hours, traded aggressively, passively, or coupled (aggressive only above the spread). Data: s1_intraml.
Lees in het hoofdstuk →