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FrontierView — Pre-Trade Market Impact

Almgren et al. (2005) execution cost analysis. Enter an order to see the efficient frontier, schedule shape, and impact decomposition.

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Configure an order above and click Analyse to compute the efficient frontier.

Total execution cost
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Efficient Frontier
Expected cost (bps) vs. execution variance (bps²) — indexed by risk aversion λ

info The cyan curve is the AC frontier — the achievable (cost, variance) trade-off as risk aversion λ varies in the closed-form AC schedule. The four canonical schedules sit at different points: TWAP at the low-λ end (low cost, high variance — risk-tolerant), Front-loaded at the high-λ end (high cost, low variance — risk-averse), AC Linear at the calculator's default λ. Back-loaded is the only schedule that sits above the curve — back-loading is outside the AC parameter space, and the gap above the curve at its variance is the cost penalty of choosing a strictly suboptimal schedule.

timeline
Execution Schedule
Participation rate per time bin
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Impact Decomposition
Spread · temporary · permanent cost (bps)
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Regime Sensitivity
Same order — calm / normal / stressed market conditions