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Thought Leadership

Goldman Sachs is a thought-leader across the capital markets, and provides educational resources to inform clients about the changing trading landscape.

We have a team of strategists dedicated to evaluating transaction costs and understanding market micro-structure. Here, we post recent reports by members of our execution consulting team.

June 1, 2008

Incorporating Transaction Costs in the Construction of 130/30 Portfolios

Samer Takriti and Ingrid Tierens

March 31, 2008

Street Smart: Quantifying the SIGMA X Crossing Benefit

George Sofianos and David Jeria

August 27, 2007

Street Smart Report: Market Turmoil and Trading Costs

George Sofianos

July 1, 2007

"Shortfall Surprises" is an article that was published in The Journal of Trading. In this paper, we use a large sample of order executions to better understand "shortfall surprises": the difference between actual and expected trading costs. On average, only 20% of actual shortfall is predictable pre-trade.

George Sofianos and Kwaku Abrokwah

April 1, 2007

Dark pools and algorithmic trading: The evolution of dark pools and how algorithms access and interact with non-displayed liquidity

George Sofianos