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Alpha profiling is an application of machi … Alpha profiling is an application of machine learning to optimize the execution of large orders in financial markets by means of algorithmic trading. The purpose is to select an execution schedule that minimizes the expected implementation shortfall, or more generally, ensures compliance with a best execution mandate.Alpha profiling models learn statistically-significant patterns in the execution of orders from a particular trading strategy or portfolio manager and leverages these patterns to associate an optimal execution schedule to new orders. In this sense, it is an application of statistical arbitrage to best execution. For example, a portfolio manager specialized in value investing may have a behavioral bias to place orders to buy while an asset is still declining in value. In this case, a slow or back-loaded execution schedule would provide better execution results than an urgent one. But this same portfolio manager will occasionally place an order after the asset price has already begun to rise in which case it should best be handled with urgency; this example illustrates the fact that Alpha Profiling must combine public information such as market data with private information including as the identity of the portfolio manager and the size and origin of the order, to identify the optimal execution schedule.o identify the optimal execution schedule.
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Alpha profiling is an application of machi … Alpha profiling is an application of machine learning to optimize the execution of large orders in financial markets by means of algorithmic trading. The purpose is to select an execution schedule that minimizes the expected implementation shortfall, or more generally, ensures compliance with a best execution mandate.Alpha profiling models learn statistically-significant patterns in the execution of orders from a particular trading strategy or portfolio manager and leverages these patterns to associate an optimal execution schedule to new orders. In this sense, it is an application of statistical arbitrage to best execution. For example, a portfolio manager specialized in value investing may have a behavioral bias to place orders to buy while an asset is still declining in value. In this cset is still declining in value. In this c
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Alpha Profiling
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