BEST EXECUTION OF HEDGE FUND STRATEGIES

Saad Rathore
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Saad Rathore: Algorithmic Capital Markets, USA

Chapter 8 in Hedge Fund Alpha:A Framework for Generating and Understanding Investment Performance, 2009, pp 119-136 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionMarket Microstructure EvolutionSmall Order Execution System (SOES)Christie-Schultz Study of “Implicit Collusion” By Market MakersDecimalization of U.S. MarketsRegulation National Market System (Reg NMS)Best Execution of Hedge Fund TradesTransaction CostsExplicit CostsImplicit CostsPre, During and Post Trade AnalysesPre-Trade AnalysesDuring Trade AnalysesVolume Weighted Average Price (VWAP)Time Weighted Average Price (TWAP)Target Volume Strategies (TVOL)Proprietary Advanced Execution StrategiesDark Pools and Crossing NetworksTechnology for Best ExecutionPost-Trade AnalysisTransaction Cost Analysis (TCA)Performance AnalysisReporting on Post Trade AnalysisHedge Fund Alpha Tear Sheet — Chapter 8End NotesReferences

Keywords: Hedge Funds; Alpha; Investment Strategy; Stock Market; Investing; Emerging Markets; Fund of Funds; Investment Management; Brazil; Russia; India; China (search for similar items in EconPapers)
Date: 2009
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