PT - JOURNAL ARTICLE AU - Iaryna Grynkiv AU - Lada Kyj AU - Tim Garrett TI - Market ability Filters in Spread Execution<br/>Trading Algorithms AID - 10.3905/jot.2014.9.2.051 DP - 2014 Mar 31 TA - The Journal of Trading PG - 51--58 VI - 9 IP - 2 4099 - https://pm-research.com/content/9/2/51.short 4100 - https://pm-research.com/content/9/2/51.full AB - We introduce a new Global Marketability filter and demonstrate the use of this filter in a Spread execution algorithm. We demonstrate that traditionally used filter is suboptimal in capturing targeted Spread in high frequency Pairs execution strategy. We further show the new proposed Global Marketability filter leads to better performance by capturing the targeted Spread, lowering lagging risk, and minimizing Stop Loss initiation.TOPICS: Statistical methods, risk management