easy · Market Microstructure market-impact
According to the IS framework, what is the 'Paper Portfolio Return'?
- The total value of all resting limit orders currently visible on both the bid and ask sides of the exchange's order book.
- The percentage return of the broad S&P 500 market index measured over the duration of the trade.
- A simulated portfolio traders use to backtest high-frequency alpha signals before deploying real capital.
- The return that would have been achieved if the entire order was filled at the decision price with zero cost.
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