Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171840
Authors: 
Kakushadze, Zura
Year of Publication: 
2015
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 3 [Year:] 2015 [Issue:] 3 [Pages:] 577-589
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.
Subjects: 
hedge fund
alpha stream
crossing trades
transaction costs
portfolio turnover
correlation structure
large N limit
JEL: 
G00
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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