Abstract

Traditionally, designers of agency algorithms have predominantly been focused on the sourcing of liquidity, minimization of market impact & execution volatility risk, achievement of price benchmarks, spread and rebate capture.

The heightened awareness of high frequency trading strategies and their profitability, increased sophistication of agency algorithms and an ongoing desire to reduce trading costs has given rise to an increased consideration of intra-day alphas in execution algorithms. These include both generic alphas that can be “harvested” by anyone as well as alphas implicit in the investment portfolio being transacted.

This presentation will provide specific examples of these intra-day alphas and demonstrate how they can be utilized to reduce transaction costs in the context of algorithmic trade executions.