Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
4 documents
The lecture describes how transaction costs affect strategy performance and how institutional trading teams assess execution. It distinguishes explicit commissions and fees from indirect costs such as spread and market impact. Slippage is linked to…
The document distinguishes share volume from dollar volume and explains why bar data may report averaged, volume-weighted, or last-traded prices. It describes common intraday volume patterns in US equities, including higher activity near the open and close,…
The document explains a cross-sectional long-short equity strategy: rank stocks with a model, buy the highest-ranked names, and short the lowest-ranked names using balanced dollar exposure. It presents the ranking signal as the strategy’s main source of…
This lecture explains how universe selection defines the securities available to a trading algorithm and can shape both strategy behavior and risk. It presents a daily screen for common stocks ranked by average dollar volume as a basic liquidity filter,…