t****n
发帖数: 28 | 1 I run a decent size stat arb book and rebalance it once a day. The turnover
is pretty high. I know instead of paying brokers commissions to trade, I
could trade throughout the day and make some rebates with destroying my
alphas.
However, I am not an expert on this part. If someone with expertise is
willing to help, you can either work on consulting base or you can join the
team to work on new strategies and potentially trade your own book.
Thanks |
s*******s
发帖数: 1568 | 2 REBALANCED DAYLIY 直接给EXECUTION AGENT VWAP好了，和PNL一比是小钱了 |
a*****k
发帖数: 704 | 3 just curious: what is the range of a decent size stat arb book?
【在 t****n 的大作中提到】
: I run a decent size stat arb book and rebalance it once a day. The turnover
: is pretty high. I know instead of paying brokers commissions to trade, I
: could trade throughout the day and make some rebates with destroying my
: alphas.
: However, I am not an expert on this part. If someone with expertise is
: willing to help, you can either work on consulting base or you can join the
: team to work on new strategies and potentially trade your own book.
: Thanks
|
a*****k
发帖数: 704 | 4 he wants rebate now.
【在 s*******s 的大作中提到】
: REBALANCED DAYLIY 直接给EXECUTION AGENT VWAP好了，和PNL一比是小钱了
|
J*****n
发帖数: 4859 | 5
turnover
the
how many bps do you pay on commission and estimated market impact?
【在 t****n 的大作中提到】
: I run a decent size stat arb book and rebalance it once a day. The turnover
: is pretty high. I know instead of paying brokers commissions to trade, I
: could trade throughout the day and make some rebates with destroying my
: alphas.
: However, I am not an expert on this part. If someone with expertise is
: willing to help, you can either work on consulting base or you can join the
: team to work on new strategies and potentially trade your own book.
: Thanks
|
