[R-SIG-Finance] Pricing guaranteed execution

[Patrick Burns]

I would think that the two main determinants
would be how good your trading is and how
much your competitions charges.

The connect to R would be to use it to analyze
historical records of trading.


Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of "The R Inferno" and "A Guide for the Unwilling S User")

R_help Help wrote:
> Mark - Not really. Let me explain the setting a bit. You receive says
> a day order of 1mio shares of stock XYZ. You guarantee client
> execution price using some benchmark such as VWAP price of the day. In
> return, you'll charge them for markup to compensate your risk. Just
> wondering if anybody has put any thoughts on such a problem on how to
> come up with this markup. Thanks.
> 
> On Mon, Dec 7, 2009 at 11:29 PM,  <markleeds at verizon.net> wrote:
>> I doubt I can help but I'm not sure that I understand your question. Are you
>> trying to simulate a strategy and
>> buying and selling intraday ?
>>
>>
>> On Dec 7, 2009, R_help Help <rhelpacc at gmail.com> wrote:
>>
>> Well thanks Mark. My order horizon is usually much longer. So I'm
>> wondering if there's any framework for pricing such executions that
>> people have put thoughts on so far? Thanks.
>>
>> On Mon, Dec 7, 2009 at 11:11 PM, <markleeds at verizon.net> wrote:
>>> hi: you could assume the offer quote on a buy and the bid quote on a sale
>>> but even that's not guaranteed if you don't
>>> get there first.
>>>
>>>
>>>
>>> On Dec 7, 2009, R_help Help <rhelpacc at gmail.com> wrote:
>>>
>>> Hi,
>>>
>>> Sorry. This is probably not an R question. But I'd like to know if one
>>> were to guarantee execution. Is there any framework to price the
>>> markup? Thank you.
>>>
>>> rhelp
>>>
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