论文标题
交易后分配：造成您的绩效的订单是多少？
Post trade allocation: how much are bunched orders costing your performance?
论文作者
论文摘要
通常将单个贸易订单捆成一个以处理效率的块订单，在执行后，它们被分配到个人帐户中。由于监管机构尚未规定任何特定的贸易后分配实践或方法论，因此实体试图严格遵守内部政策和程序，以满足在程序上公平且公平的最低监管要求。但是，正如许多年来，多年来发现的，在帐户之间没有简单的解决方案来导致收益均匀分配。此外，在许多情况下，回报之间的差异不会随着更多的交易而消失，并且在某些情况下倾向于增加。本文是贸易分配风险的第一种系统处理。我们阐明了账户返回分歧的原因，我们提出了一种解决方案，该解决方案支持统一分配回报率，而与帐户数量和贸易数量的数量无关。
Individual trade orders are often bunched into a block order for processing efficiency, where in post execution, they are allocated into individual accounts. Since Regulators have not mandated any specific post trade allocation practice or methodology, entities try to rigorously follow internal policies and procedures to meet the minimum Regulatory ask of being procedurally fair and equitable. However, as many have found over the years, there is no simple solution for post trade allocation between accounts that results in a uniform distribution of returns. Furthermore, in many instances, the divergences between returns do not dissipate with more transactions, and tend to increase in some cases. This paper is the first systematic treatment of trade allocation risk. We shed light on the reasons for return divergence among accounts, and we present a solution that supports uniform allocation of return irrespective of number of accounts and trade sizes.
