Execution Benchmarks
Arrival price, close, VWAP, TWAP, and other benchmarks encode different questions. Optimizing to a benchmark can change behavior in ways unrelated to economic value.
Central questions
- What decision does the benchmark evaluate?
- Can the trader influence the benchmark itself?
- Which information is known before versus after execution?
Planned model
Apply one set of fills to several benchmarks and expose when identical trading is judged differently solely because the evaluation reference changed.