RT Journal Article
SR Electronic
T1 Constant Impact Strategy
JF The Journal of Trading
FD Institutional Investor Journals
SP 26
OP 33
DO 10.3905/jot.2014.9.3.026
VO 9
IS 3
A1 Vladimir Markov
YR 2014
UL https://pm-research.com/content/9/3/26.abstract
AB This article presents a new schedule-based execution strategy called the constant impact strategy. The strategy is a generalization of the percentage of volume strategy and is adaptive in volume and volatility spaces. It can be an attractive alternative to standard execution strategies for orders with low urgency, which is typical of passive institutional orders.TOPICS: Security analysis and valuation, statistical methods