Anthony Ledford

Man AHL

Chief Scientist

Riverbank House

2 Swan Lane

London, EC4R 3AD

United Kingdom

http://www.ahl.com

SCHOLARLY PAPERS

3

DOWNLOADS
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Scholarly Papers (3)

1.

Quantifying Long-Term Market Impact

Number of pages: 23 Posted: 01 Jul 2021 Last Revised: 21 Sep 2021
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 1,041 (29,543)

Abstract:

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Impact costs, slippage, square-root law, implementation shortfall, metaorders, child orders, changepoints, systematic strategies, alpha, trading strategies, optimal execution, stitching, propagator

2.

Modeling Analysts’ Recommendations via Bayesian Machine Learning

Number of pages: 30 Posted: 13 Nov 2018 Last Revised: 04 Oct 2019
Man AHL, Duke University - Fuqua School of Business, Man AHL, quantPORT and Realindex Investments
Downloads 980 (32,160)

Abstract:

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Variational Bayes, VB, IBCC, Machine Learning, Data Science, Analysts’ Forecasts, IBES, Analysts’ Recommendations, Forecast Fatigue, Forecast Combination, Dirichlet Distributed Prior, Galaxy Zoo

3.

Strategic Execution Trajectories

Number of pages: 33 Posted: 15 Jul 2021
Man AHL, ETH Zurich, Man AHL and Man Group plc
Downloads 381 (107,727)

Abstract:

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Block trade, financial markets, market impact, market manipulation, optimal transport, optimal trade execution, optimization, quantitative finance, transactions costs.