Pricing guaranteed execution

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Pricing guaranteed execution

Robert A'gata
Hi,

Sorry. This is probably not an R question. But I'd like to know if one
were to guarantee execution. Is there any framework to price the
markup? Thank you.

rhelp

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Re: Pricing guaranteed execution

Robert A'gata
Well thanks Mark. My order horizon is usually much longer. So I'm
wondering if there's any framework for pricing such executions that
people have put thoughts on so far? Thanks.

On Mon, Dec 7, 2009 at 11:11 PM,  <[hidden email]> wrote:

> hi: you could assume the offer quote on a buy and the bid quote on a sale
> but even that's not guaranteed if you don't
> get there first.
>
>
>
> On Dec 7, 2009, R_help Help <[hidden email]> wrote:
>
> Hi,
>
> Sorry. This is probably not an R question. But I'd like to know if one
> were to guarantee execution. Is there any framework to price the
> markup? Thank you.
>
> rhelp
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>

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Re: Pricing guaranteed execution

Robert A'gata
In reply to this post by Robert A'gata
Mark - Not really. Let me explain the setting a bit. You receive says
a day order of 1mio shares of stock XYZ. You guarantee client
execution price using some benchmark such as VWAP price of the day. In
return, you'll charge them for markup to compensate your risk. Just
wondering if anybody has put any thoughts on such a problem on how to
come up with this markup. Thanks.

On Mon, Dec 7, 2009 at 11:29 PM,  <[hidden email]> wrote:

> I doubt I can help but I'm not sure that I understand your question. Are you
> trying to simulate a strategy and
> buying and selling intraday ?
>
>
> On Dec 7, 2009, R_help Help <[hidden email]> wrote:
>
> Well thanks Mark. My order horizon is usually much longer. So I'm
> wondering if there's any framework for pricing such executions that
> people have put thoughts on so far? Thanks.
>
> On Mon, Dec 7, 2009 at 11:11 PM, <[hidden email]> wrote:
>> hi: you could assume the offer quote on a buy and the bid quote on a sale
>> but even that's not guaranteed if you don't
>> get there first.
>>
>>
>>
>> On Dec 7, 2009, R_help Help <[hidden email]> wrote:
>>
>> Hi,
>>
>> Sorry. This is probably not an R question. But I'd like to know if one
>> were to guarantee execution. Is there any framework to price the
>> markup? Thank you.
>>
>> rhelp
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only.
>> -- If you want to post, subscribe first.
>>
>

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Re: Pricing guaranteed execution

Christian Prinoth
I don't have much direct experience on this issue, but I guess you would
take into account:
- distribution of intraday volumes
- expected tracking error volatility of the basket to be traded
(relative to whatever hedging instruments your desk has)

For instance, a sell side trading desk would price a risk trade so that
they do not lose in the worst case scenario setting price equal to
expected loss (which might be estimated by 2*expected tracking error of
the portion of the basket that they are unable to readily hedge).

Christian Prinoth <[hidden email]>
Epsilon SGR
+39-02-88102355


> -----Original Message-----
> From: [hidden email]
> [mailto:[hidden email]] On Behalf Of
> R_help Help
> Sent: 11 December, 2009 16:38
> To: [hidden email]; [hidden email]
> Subject: Re: [R-SIG-Finance] Pricing guaranteed execution
>
> Mark - Not really. Let me explain the setting a bit. You receive says
> a day order of 1mio shares of stock XYZ. You guarantee client
> execution price using some benchmark such as VWAP price of the day. In
> return, you'll charge them for markup to compensate your risk. Just
> wondering if anybody has put any thoughts on such a problem on how to
> come up with this markup. Thanks.
>
> On Mon, Dec 7, 2009 at 11:29 PM,  <[hidden email]> wrote:
> > I doubt I can help but I'm not sure that I understand your
> question. Are you
> > trying to simulate a strategy and
> > buying and selling intraday ?
> >
> >
> > On Dec 7, 2009, R_help Help <[hidden email]> wrote:
> >
> > Well thanks Mark. My order horizon is usually much longer. So I'm
> > wondering if there's any framework for pricing such executions that
> > people have put thoughts on so far? Thanks.
> >
> > On Mon, Dec 7, 2009 at 11:11 PM, <[hidden email]> wrote:
> >> hi: you could assume the offer quote on a buy and the bid
> quote on a sale
> >> but even that's not guaranteed if you don't
> >> get there first.
> >>
> >>
> >>
> >> On Dec 7, 2009, R_help Help <[hidden email]> wrote:
> >>
> >> Hi,
> >>
> >> Sorry. This is probably not an R question. But I'd like to
> know if one
> >> were to guarantee execution. Is there any framework to price the
> >> markup? Thank you.
> >>
> >> rhelp
> >>
> >> _______________________________________________
> >> [hidden email] mailing list
> >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> >> -- Subscriber-posting only.
> >> -- If you want to post, subscribe first.
> >>
> >
>
> _______________________________________________
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>

DISCLAIMER:\ L'utilizzo non autorizzato del presente mes...{{dropped:16}}

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Re: Pricing guaranteed execution

Patrick Burns-2
In reply to this post by Robert A'gata
I would think that the two main determinants
would be how good your trading is and how
much your competitions charges.

The connect to R would be to use it to analyze
historical records of trading.


Patrick Burns
[hidden email]
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of "The R Inferno" and "A Guide for the Unwilling S User")

R_help Help wrote:

> Mark - Not really. Let me explain the setting a bit. You receive says
> a day order of 1mio shares of stock XYZ. You guarantee client
> execution price using some benchmark such as VWAP price of the day. In
> return, you'll charge them for markup to compensate your risk. Just
> wondering if anybody has put any thoughts on such a problem on how to
> come up with this markup. Thanks.
>
> On Mon, Dec 7, 2009 at 11:29 PM,  <[hidden email]> wrote:
>> I doubt I can help but I'm not sure that I understand your question. Are you
>> trying to simulate a strategy and
>> buying and selling intraday ?
>>
>>
>> On Dec 7, 2009, R_help Help <[hidden email]> wrote:
>>
>> Well thanks Mark. My order horizon is usually much longer. So I'm
>> wondering if there's any framework for pricing such executions that
>> people have put thoughts on so far? Thanks.
>>
>> On Mon, Dec 7, 2009 at 11:11 PM, <[hidden email]> wrote:
>>> hi: you could assume the offer quote on a buy and the bid quote on a sale
>>> but even that's not guaranteed if you don't
>>> get there first.
>>>
>>>
>>>
>>> On Dec 7, 2009, R_help Help <[hidden email]> wrote:
>>>
>>> Hi,
>>>
>>> Sorry. This is probably not an R question. But I'd like to know if one
>>> were to guarantee execution. Is there any framework to price the
>>> markup? Thank you.
>>>
>>> rhelp
>>>
>>> _______________________________________________
>>> [hidden email] mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only.
>>> -- If you want to post, subscribe first.
>>>
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>
>

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Re: Pricing guaranteed execution

Björn Hertzberg
In reply to this post by Robert A'gata
The book "Optimal trading strategies" by Kissell & Glantz cover this  
if my memory servs me correctly.

Not aware of any implementations of it though...

/b


Skickat från min iPhone

11 dec 2009 kl. 16.38 skrev R_help Help <[hidden email]>:

> Mark - Not really. Let me explain the setting a bit. You receive says
> a day order of 1mio shares of stock XYZ. You guarantee client
> execution price using some benchmark such as VWAP price of the day. In
> return, you'll charge them for markup to compensate your risk. Just
> wondering if anybody has put any thoughts on such a problem on how to
> come up with this markup. Thanks.
>
> On Mon, Dec 7, 2009 at 11:29 PM,  <[hidden email]> wrote:
>> I doubt I can help but I'm not sure that I understand your  
>> question. Are you
>> trying to simulate a strategy and
>> buying and selling intraday ?
>>
>>
>> On Dec 7, 2009, R_help Help <[hidden email]> wrote:
>>
>> Well thanks Mark. My order horizon is usually much longer. So I'm
>> wondering if there's any framework for pricing such executions that
>> people have put thoughts on so far? Thanks.
>>
>> On Mon, Dec 7, 2009 at 11:11 PM, <[hidden email]> wrote:
>>> hi: you could assume the offer quote on a buy and the bid quote on  
>>> a sale
>>> but even that's not guaranteed if you don't
>>> get there first.
>>>
>>>
>>>
>>> On Dec 7, 2009, R_help Help <[hidden email]> wrote:
>>>
>>> Hi,
>>>
>>> Sorry. This is probably not an R question. But I'd like to know if  
>>> one
>>> were to guarantee execution. Is there any framework to price the
>>> markup? Thank you.
>>>
>>> rhelp
>>>
>>> _______________________________________________
>>> [hidden email] mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only.
>>> -- If you want to post, subscribe first.
>>>
>>
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.

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Re: Pricing guaranteed execution

Krishna Kumar-2
Yes that book covers it, there is also a paper by Robert Almgren &  
Neil Chriss that goes into this in detail as well.


On Dec 11, 2009, at 5:46 PM, Bjorn Hertzberg  
<[hidden email]> wrote:

> The book "Optimal trading strategies" by Kissell & Glantz cover this  
> if my memory servs me correctly.
>
> Not aware of any implementations of it though...
>
> /b
>
>
> Skickat från min iPhone
>
> 11 dec 2009 kl. 16.38 skrev R_help Help <[hidden email]>:
>
>> Mark - Not really. Let me explain the setting a bit. You receive says
>> a day order of 1mio shares of stock XYZ. You guarantee client
>> execution price using some benchmark such as VWAP price of the day.  
>> In
>> return, you'll charge them for markup to compensate your risk. Just
>> wondering if anybody has put any thoughts on such a problem on how to
>> come up with this markup. Thanks.
>>
>> On Mon, Dec 7, 2009 at 11:29 PM,  <[hidden email]> wrote:
>>> I doubt I can help but I'm not sure that I understand your  
>>> question. Are you
>>> trying to simulate a strategy and
>>> buying and selling intraday ?
>>>
>>>
>>> On Dec 7, 2009, R_help Help <[hidden email]> wrote:
>>>
>>> Well thanks Mark. My order horizon is usually much longer. So I'm
>>> wondering if there's any framework for pricing such executions that
>>> people have put thoughts on so far? Thanks.
>>>
>>> On Mon, Dec 7, 2009 at 11:11 PM, <[hidden email]> wrote:
>>>> hi: you could assume the offer quote on a buy and the bid quote  
>>>> on a sale
>>>> but even that's not guaranteed if you don't
>>>> get there first.
>>>>
>>>>
>>>>
>>>> On Dec 7, 2009, R_help Help <[hidden email]> wrote:
>>>>
>>>> Hi,
>>>>
>>>> Sorry. This is probably not an R question. But I'd like to know  
>>>> if one
>>>> were to guarantee execution. Is there any framework to price the
>>>> markup? Thank you.
>>>>
>>>> rhelp
>>>>
>>>> _______________________________________________
>>>> [hidden email] mailing list
>>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>>> -- Subscriber-posting only.
>>>> -- If you want to post, subscribe first.
>>>>
>>>
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only.
>> -- If you want to post, subscribe first.
>
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