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

Vladimir Markov, Slava Mazur and 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.

Date: 2014-09
New Economics Papers: this item is included in nep-cmp
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Published in The Journal of Trading, Fall 2011, Vol. 6, No. 4, pp. 45-52

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