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BMO Capital Markets - Quantitative Execution Services
Quantitative Execution Services
Implementation Shortfall (Arrival Price)

Objective: To minimize execution costs by following the optimal trade-off between market impact costs and price risk.

By executing an order aggressively shortly after it is received, an implementation shortfall strategy seeks to minimize price risk. An implementation shortfall strategy can be executed at a passive, medium or urgent level depending on anticipated volatility and client preference. The Implemenation Shortfall strategy is most effective for highly liquid names.

Please contact Quantitative Execution Services (416) 359-5743 if you have any questions

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