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Performance metrics for algorithmic traders

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Table 1. − Definitions and concepts for parent order metrics.The realized implementation shortfall, RIS = ˜q(¯pT − p0),may be composed of these metrics via RIS = PI + AS =PI + DI − II.
Table 4. Noise buying, noise selling, and volume-weightedaverage prices (VWAPs) for ten time bins/day of trading.On average, each bin contains D¯ = 10% of the day’s volume.
Table 6. Trader A and B’s parent order metrics (per share)for ten time bins of trading in day 1 and ten time bins withouttheir trading in day 2.
Table 7. Trader A and B’s trading shortfalls, fill time short-falls, and order time shortfalls along with the volume short-falls (common to all traders) for ten time bins of trading.Trader B’s orders are identical to the average volumed dis-tribution which

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