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

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  • Vladimir Markov
  • Slava Mazur
  • David Saltz

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. "Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands," Papers 1409.1441, arXiv.org.
    • Handle: RePEc:arx:papers:1409.1441
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    File URL: http://arxiv.org/pdf/1409.1441
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    1. Zaitsev, Sergey & Zaitsev, Alexander & Leonidov, Andrei & Trainin, Vladimir, 2009. "Market mill dependence pattern in the stock market: Multiscale conditional dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(21), pages 4624-4634.
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