CoachAn implementation-shortfall algorithm trades on an optimal-execution schedule (chapter 14’s Almgren–Chriss trajectory, front-loaded by the risk aversion), aiming at the arrival price. A target-close algorithm aims at the closing price: it trades part of the order in the closing auction with a market-on-close order and the rest in the last part of the day.
| algorithm | vs benchmark (s.d.) | benchmark moved | impact (s.e.) | vs arrival (s.e.) |
|---|---|---|---|---|
| VWAP | 0.6 (0.2) | 2.0 | 2.7 (0.4) | 3.0 (2.1) |
| TWAP | 0.8 (0.5) | 2.1 | 2.9 (0.2) | 3.3 (2.2) |
| participation 10% | 1.5 (0.7) | 3.2 | 4.7 (0.6) | 5.3 (1.7) |
| shortfall, | 2.9 (5.1) | 0.0 | 2.9 (0.5) | 2.9 (1.8) |
| target close | (3.6) | 12.6 | 6.8 (1.1) | 7.3 (2.3) |
mx_algos.benchmark_study.