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Can Algorithms Be Tailored to Portfolio Needs?

Traders Magazine, November 2005

Gregory Bresiger

Traders are increasingly worried about market volatility. Move a basket of stocks quickly and market impact can run up costs. Trade the basket slowly and opportunity costs can exact a hefty price. Yet algorithms, designed to mitigate these market volatility issues, are often missing the mark because many were not designed for trading large numbers of issues. Indeed, many of these mathematical marvels will miss the VWAP benchmark by half a penny or so, says a firm selling its own brand of algorithmic solutions. Susquehanna International Group (SIG) claims it has a better idea. The firm has released a new portfolio algorithm, Tempo (Targeted

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