Implementation Shortfall model (2006–2007)

Model built for major European investment bank program trading desk provides an approach towards calculating optimal order execution schedule based on “implementation shortfall” (ISF) minimization.

Peter Gagarinov
Peter Gagarinov
Software Engineering Architect and Consultant

Software engineering architect and an open source enthusiast with a focus on machine learning, trading system, applied financial and mathematical modelling, distributed systems and technical computing.