A Spectral Model of Turnover Reduction

Econometrics

Zura Kakushadze¹ 

[1] Quantigic® Solutions LLC, 1127 High Ridge Road #135, Stamford, CT 06905, USA; E-Mail:

关键词: hedge fund;    alpha stream;    crossing trades;    transaction costs;    portfolio turnover;    correlation structure;    large N limit;   

DOI  :  10.3390/econometrics3030577

来源: mdpi

【 摘 要 】

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.

【 授权许可】

CC BY   
© 2015 by the authors; licensee MDPI, Basel, Switzerland.