Quantitative thinking for automated strategies
BK Capital Advisor's Quantitative Research develops quantitative execution strategies and real-time microstructure models, and conducts transaction cost analysis, to provide financial engineering support primarily for the Portfolio Trading Desk and its clients.
The group also performs customized analyses of trading performance assisting clients with the selection of suitable benchmarks and trading strategies to achieve optimal execution. The focus of these analyses is to reduce impact pricing and achieve the benchmark price with minimal risk and opportunity costs.
In addition we provide an in-depth analysis of liquidity and pricing behavior that is determined by the occurrence of major index rebalance and reconstitution events. These include additions and removals to the S&P Indices, quarterly S&P Indices rebalance, annual Russell Indices rebalance, and quarterly IPO additions to the Russell Indices.