债券交易成本的奥卡姆剃刀

Journal of Fixed Income Pub Date : 2021-11-17 DOI:10.3905/jfi.2021.1.125

Vlad Rashkovich, A. Iogansen

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引用次数: 0

摘要

无法准确预测交易成本是影响alpha和债券投资者业绩的主要因素之一。我们引入了一个反映债券特征和订单信息的债券交易成本分析框架。该框架利用历史和实时数据来提供可靠的解释力。作者的目标是帮助买方交易者和交易商建立流动性树，同时帮助投资组合经理做出包括交易成本在内的投资决策。我们拥有20年的股票交易成本建模经验，以及对债券市场微观结构的深入了解。我们的业务涵盖美元、欧元和英镑发行的投资级和高收益公司债券，以及全球发达市场和新兴市场的政府债券。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Occam’s Razor for Bond Trade Costs

Inability to accurately project transaction cost is one of the main drags on alpha and performance for bond investors. We introduce a framework for bond trade cost analysis that reflects bond characteristics as well as order information. This framework leverages historical and real-time data to deliver solid explanatory power. The authors goal is to help buy-side traders and dealers to build liquidity trees, while assisting portfolio managers to make investment decisions that include trade costs. We lean on 20 years of experience modeling transaction cost for equities, as well as intimate knowledge of the bond market microstructure. Our work covers investment grade and high yield corporate bonds, issued in USD, EUR, and GBP, as well as government bonds in developed and emerging markets globally.

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.