A Spectral Model of Turnover Reduction

Zura Kakushadze

Papers from arXiv.org

Abstract: We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest eigenvalue and the corresponding eigenvector of the alpha correlation matrix.

Date: 2014-04, Revised 2015-11
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Citations: View citations in EconPapers (2)

Published in Econometrics 3(3) (2015) 577-589

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