Heart of the “Price Improvement” Mechanism – Part II

March 16th, 2023 | For Subscribers

In a continuation from Part I of this exercise, Alphacution shares the first steps in estimating price improvement rates for odd lot orders based on data related to wholesale market maker, Citadel Securities...

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About Paul Rowady

Paul Rowady is the Director of Research for Alphacution, a research and strategic advisory platform uniquely focused on modeling and benchmarking the impacts of technology on global financial markets and the businesses of trading and asset management. He is a 35-year veteran of the proprietary, quantitative and derivatives trading arenas.

Contact: feedback@alphacution.com

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