This is a summary of links featured on Quantocracy on Monday, 03/22/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Modelling Slippage for Limit Orders using Adaptive KDE-based Loss Severity Distribution [Quant at Risk]Placing limit orders for trade execution is both quite popular and handy method in (algo)trading. A trader expects that the executed price of his buy/sell trade will ideally match the one requested in his limit order. Unfortunately, depending on a momentary market/asset liquidity, the difference between both prices can vary or vary significantly. This difference, by many known as an executed
-
An Economic Framework for ESG Investing [Alpha Architect]The 2018 Global Sustainable Investment Review reports over $30 trillion invested with explicit ESG goals as of the beginning of 2018. In the words of the authors: There is a clear tendency for many investors to own ethical companies in a saintly effort to promote good corporate behavior while hoping to do so in a guiltless way that does not sacrifice returns. To empower future investors in the ESG
-
Building a real-time market distress index [SR SV]A new Fed paper explains how to construct a real-time distress index, using the case of the corporate bond market. The index is based on metrics that describe the functioning of primary and secondary markets and, unlike other distress measures, does not rely on prices and volatility alone. Thus, it includes issuance volumes and issuer characteristics on the primary side and trading volumes and