A Spectral Model of Turnover Reduction
General Finance
2015-11-10 v4
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.
Keywords
Cite
@article{arxiv.1404.5050,
title = {A Spectral Model of Turnover Reduction},
author = {Zura Kakushadze},
journal= {arXiv preprint arXiv:1404.5050},
year = {2015}
}
Comments
15 pages; a trivial typo corrected in Eq. (43), no other changes