Goldman Sachs Electronic Trading (GSET) has upgraded its Goldman Sachs Shortfall Model (GSSM). The company has claimed that GSSM generates expected shortfall numbers, which are estimates for the average change in stock price a trader may create by executing an order. Two major enhancements to the GSSM include, improvements to the US equities model and calibration of that new model, specifically for US exchange traded funds (ETFs).
Goldman has claimed that GSSM is based on its own executed orders data, rather than publicly available tick data, and is re-estimated frequently to reflect recent market conditions and uses factor inputs that are updated on a daily basis. While the old model included ETFs as part of the estimation universe for equities, ETF model coefficients are now estimated separately based on a large sample of executed orders for ETFs only.
Ingrid Tierens, managing director and head of equity execution strategies at GSET, commmented: While we continuously monitor the predictive ability of our shortfall model, the significant volatility and dramatically changing US equity landscape of the past year underscores the value of these changes, which we researched over an extensive period of time. With this new model, clients benefit from an enhanced ability to predict shortfall estimates, not only for single-stock and portfolio trades, but also for ETFs, which have seen significant growth over the past few years.”
Goldman Sachs Execution & Clearing, L.P, through its GSET offering, provides clients with the necessary tools to manage their trades from pre-trade analytics to post-trade analysis.
