TY - JOUR T1 - Market ability Filters in Spread Execution<br/>Trading Algorithms JF - The Journal of Trading SP - 51 LP - 58 DO - 10.3905/jot.2014.9.2.051 VL - 9 IS - 2 AU - Iaryna Grynkiv AU - Lada Kyj AU - Tim Garrett Y1 - 2014/03/31 UR - https://pm-research.com/content/9/2/51.abstract N2 - 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 ER -