Slippage models for portfolios.

We build cross-asset slippage models to assess trading costs and inform investment decisions.

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Data-driven models with theoretical guarantees

  • Tested on stocks, futures and options
  • Insights from anonymous trades and proprietary orders
  • Handles illiquid and highly correlated instruments
  • Prevents degenerate solutions when used in portfolio construction problems
Use cases

What we can help with

Pre-transaction construction

Leverage our transaction cost models to inform investment decisions

Execution scheduling

Find optimal scheduling policies for portfolios of correlated instruments

Post-transaction

Use benchmarks to assess execution quality