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A spectral model of turnover reduction

Zura Kakushadze
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.
Year of publication:
2015
Authors: Kakushadze, Zura
Published in:
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 3.2015, 3, p. 577-589
Subject: hedge fund | alpha stream | crossing trades | transaction costs | portfolio turnover | correlation structure | large N limit | Transaktionskosten | Transaction costs | Hedgefonds | Hedge fund | Portfolio-Management | Portfolio selection | Theorie | Theory | Kapitaleinkommen | Capital income | Korrelation | Correlation | Arbeitsmobilität | Labour mobility
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