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

The Journal of Trading, Fall 2011, Vol. 6, No. 4, pp. 45-52

https://doi.org/10.3905/jot.2011.6.4.045

Posted: 21 May 2019

Date Written: July 26, 2011

Abstract

We propose a design for schedule-based 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: market microstructure, algorithmic trading

JEL Classification: G10, G12

Suggested Citation

Markov, Vladimir and Mazur, Slava and Saltz, David, Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands (July 26, 2011). The Journal of Trading, Fall 2011, Vol. 6, No. 4, pp. 45-52. Available at SSRN: https://ssrn.com/abstract=2187527

Vladimir Markov (Contact Author)

Liquidnet, Inc. ( email )

498 Seventh Avenue
New York, NY 10018

Slava Mazur

Liquidnet, Inc ( email )

498 Seventh Avenue, 15th floor
New York, NY 10018
United States

David Saltz

Liquidnet, Inc ( email )

498 Seventh Avenue, 15th floor
New York, NY 10018
United States

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