Mean-Variance Optimization for Simulation of Order Flow
提出一个简单高效、统计性质接近真实市场的订单流模拟器，用于模拟买方机构的交易活动，并估计判断订单流是否具有阿尔法所需的交易次数。
In this article, the authors propose an order flow simulator for meta orders such as those originating from the trading activity of buy-side firms. The simulator is designed with three key goals in mind. First, it should be simple to use and to integrate into different applications. Second, it must be computationally efficient to handle many securities. Third, the simulated order flow should possess statistical properties similar to those of observed order flow in the market. The authors provide two empirical examples. In addition to illustrating some statistical properties of the order flow simulator, they use the simulator to estimate the number of trades needed to determine whether order flow from a buy-side firm has alpha.