market impact control

Discussion in 'Strategy Building' started by man, Apr 6, 2007.

  1. man


    hi guys. it has been a topic for me and will continue to be.

    we are trading 12 futures intraday, mainly financials. we measure
    slippage in basispoints and compare it to bid ask and minimum
    tick size.

    point is that slippage per se is not constant. different volatility,
    different volume and so forth. so my slippage will vary, though
    my market impact is still the same. how do you guys tackle that?

    i would like to derive one single impact figure. like correlating my
    slippage among markets. but since markets correlate as well and
    their volumes and their volumes i am thinking along taking my
    least correlated markets at anyone time and look at the correlation
    of their slippages. in effect i want to divide my slippage correlation
    by my market correlation, but only for the two least correlated

    hope that was not too confusing. nevertheless, before i start this
    i just wanted to check if someone deeper in this would share some