Questions tagged [allocation]

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4
votes
3answers
1k views

How do Order Management/Matching Systems match/allocate orders (and filled prices)?

I am working on an improvement of my company's order allocation system. We run a central Order Management System (OMS) but currently performance attribution from filled orders leaves room for ...
1
vote
1answer
53 views

Dendrogram/cluster analysis of correlation matrix

First post, hope I'm explaining things sufficiently clearly. I want to take a universe of potential, trade-able instruments and allocate them to portfolio managers. Traditionally, this is done using a ...
0
votes
1answer
115 views

Plain vanilla risk parity with trends forecasting power

I have built an asset allocation model (plain vanilla risk parity) but I would like to adapt the initial asset allocation with respect to potential futures changes in the trends of the assets under ...