RT Journal Article
SR Electronic
T1 A Practitioner Perspective on Trading and the Implementation of Investment Strategies
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 30
OP 44
DO 10.3905/jpm.2022.1.371
VO 48
IS 6
A1 Joseph A. Cerniglia
A1 Frank J. Fabozzi
YR 2022
UL https://pm-research.com/content/48/6/30.abstract
AB In this article, we discuss the fundamentals of the market structure and trading, along with how these impact the execution of investment strategies. From a practitioner perspective, we bring together this information to explore different models and processes to assist in achieving optimal execution of trading strategies. After providing a taxonomy of trading costs, we discuss how these costs, particularly market impact costs, are estimated and forecasted. Proposed models for optimal execution designed to get the best execution of a single trade, or sometimes a sequence of trades, are reviewed.