Programme trading: Bidding principles - By annualising the price impacts and variances of principal bid programme trades. The authors construct an information ratio measure that can be used to set hurdles below which bids at a given discount should not be accepted.
| Year of publication: |
2003
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|---|---|
| Authors: | Almgren, Robert ; Chriss, Neil |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 16.2003, 6, p. 97-102
|