Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands
Trading and Market Microstructure
2014-09-05 v1
Abstract
We propose a design for schedule-based execution trading strategies based on uncertainty bands. This formulation: 1) simplifies strategy specification and implementation; 2) provides for flexible allocation among passive, opportunistic, aggressive, and dark pool crossing execution tactics; 3) allows for rapid enhancements as new optimization methods, scheduling techniques, alpha models, and execution tactics are developed; and 4) yields information at macroscopic (strategic) and microscopic (tactical) levels that is easily published to trading databases and front-end applications.
Keywords
Cite
@article{arxiv.1409.1441,
title = {Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands},
author = {Vladimir Markov and Slava Mazur and David Saltz},
journal= {arXiv preprint arXiv:1409.1441},
year = {2014}
}