TY - JOUR T1 - Design and Implementation of Schedule-Based Trading<br/>Strategies Based on Uncertainty Bands JF - The Journal of Trading SP - 45 LP - 52 DO - 10.3905/jot.2011.6.4.045 VL - 6 IS - 4 AU - Vladimir Markov AU - Slava Mazur AU - David Saltz Y1 - 2011/09/30 UR - https://pm-research.com/content/6/4/45.abstract N2 - 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.TOPICS: VAR and use of alternative risk measures of trading risk, volatility measures, exchanges/markets/clearinghouses ER -