Implementation Shortfall Optimization

*Implementation Shortfall is the difference between the decision price and the final execution price (including fees or commissions) during a trade; also known as “Slippage. The concept is of particular concern when dealing with large institutional level orders where liquidity is a primary concern”.

$IS=[(N\ast (PriceAtEnd-PriceAtDecision))$ $-\Sigma (NumActual\ast (PriceActual-PriceAtDecision))]$ $/(N\ast PriceAtDecision)$