Implementation shortfall algorithm for illiquid stocks

First Published in Automated Trader Magazine 11/Issue 11 Q4 2008 : Anatomy Of An Algo

Scott Bradley, Head of Electronic Client Solutions Sales EMEA and Chris Andrew, Head of Product Development for EMEA, Electronic Client Solutions at J.P. Morgan outline the use of an implementation shortfall algorithm designed for illiquid stocks to acquire a position in Victrex.


The Asset: Victrex PLC Ordinary Shares. The bid/offer spread in Victrex is volatile; the bulk of activity is in the 0.5-1.0p range, but excursions to 8p and beyond are not unheard of.

The Challenge: To ...

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