A Practitioner Perspective on Trading and the Implementation of Investment Strategies
从从业者视角讨论市场结构与交易如何影响投资策略执行，梳理交易成本分类并重点介绍市场冲击成本的估算与预测，以及最优执行模型。
In this article, we discuss the fundamentals of the market structure and trading, along with how these impact the execution of investment strategies. From a practitioner perspective, we bring together this information to explore different models and processes to assist in achieving optimal execution of trading strategies. After providing a taxonomy of trading costs, we discuss how these costs, particularly market impact costs, are estimated and forecasted. Proposed models for optimal execution designed to get the best execution of a single trade, or sometimes a sequence of trades, are reviewed.