Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands

Vladimir Markov; Slava Mazur; David Saltz

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arXiv · 1409.1441

Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands

Vladimir Markov·Slava Mazur·David Saltz

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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.

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Vladimir Markov, Slava Mazur, David Saltz. 2014-09-04. Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands. https://arxiv.org/abs/1409.1441

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