A Spectral Model of Turnover Reduction

Zura Kakushadze

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arXiv · 1404.5050

A Spectral Model of Turnover Reduction

Zura Kakushadze

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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.

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Zura Kakushadze. 2015-11-07. A Spectral Model of Turnover Reduction. https://arxiv.org/abs/1404.5050

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