RT Journal Article SR Electronic T1 Design and Implementation of Schedule-Based Trading
Strategies Based on Uncertainty Bands JF The Journal of Trading FD Institutional Investor Journals SP 45 OP 52 DO 10.3905/jot.2011.6.4.045 VO 6 IS 4 A1 Vladimir Markov A1 Slava Mazur A1 David Saltz YR 2011 UL https://pm-research.com/content/6/4/45.abstract AB 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