Nicholas Westray

Courant Institute of Mathematical Sciences

Visiting Researcher - Financial Machine Learning

251 Mercer Street

New York, NY - 10012

United States

  • Courant Institute of Mathematical Sciences

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

What Happened to the Rest? A Principled Approach to Clean-Up Costs in Algorithmic Trading

Number of pages: 19 Posted: 04 Mar 2021
Petter N. Kolm and Nicholas Westray
New York University (NYU) - Courant Institute of Mathematical Sciences and Courant Institute of Mathematical Sciences
Downloads 332 (111,063)
Citation 1

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Algorithmic trading, Backtesting, Best execution, Clean-up cost, Optimal execution, Trading, Transaction cost analysis

2.

Optimal Execution in Hong Kong Given a Market-on-Close Benchmark

Quantitative Finance 18 (2018), 655-671
Number of pages: 29 Posted: 12 Jun 2015 Last Revised: 12 Mar 2018
Christoph Frei and Nicholas Westray
University of Alberta - Department of Mathematical and Statistical Sciences and Courant Institute of Mathematical Sciences
Downloads 134 (259,148)

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Optimal trade execution, Hong Kong Exchange, median benchmark, algorithmic trading