Understanding the Profit and Loss Distribution of Trading Algorithms
Understanding the Profit and Loss Distribution of Trading Algorithms
复制标题
了解交易算法的盈亏分布
DOI：
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
R. Malamut
中科院分区：
文献类型：
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作者：
R. Kissell;R. Malamut
随着算法交易的出现，投资者必须在决策过程中更加主动，以确保选择最合适的算法。投资者需要指定基准价格、实施目标和首选偏差策略（即最佳指定算法如何应对不断变化的市场条件或价格）。在本文中，作者描述了一个分析过程，用于评估这些决策对算法损益分布的影响。
With the advent of algorithmic trading, it is essential that investors become more proactive in the decision-making process to ensure selection of the most appropriate algorithm. Investors need to specify benchmark price, implementation goal, and preferred deviation strategy (i.e., how the optimally prescribed algorithm is to react to changing market conditions or prices). In this article the authors describe an analytical process to assess the impact of these decisions on the profit and loss distribution of the algorithm.