Efficient Stock Trading

WorldQuant, LLC Mathematics, 2007-08

Liaison(s): Jeff Miller ’98, Brian Johnson ’98
Advisor(s): Susan Martonosi
Students(s): Greg Borish, Jason Christiansen (PM), Alex Korn, Minal Shankar

Hedge funds often trade thousands of shares of a stock each day. Market impact and liquidity con-straints make it a poor financial decision to execute these large trades in a single order. Rather, it is wise to split the order into several small orders to minimize costs. The purpose of this project is to develop and test an algorithm which will efficiently split large orders to obtain the best average price over all shares traded.