Skip to main content

Main menu

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Trading
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Trading

The Journal of Trading

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter
Article

Design and Implementation of Schedule-Based Trading
Strategies Based on Uncertainty Bands

Vladimir Markov, Slava Mazur and David Saltz
The Journal of Trading Fall 2011, 6 (4) 45-52; DOI: https://doi.org/10.3905/jot.2011.6.4.045
Vladimir Markov
is a quantitative strategist at Liquidnet, Inc., in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: vmarkov@liquidnet.com
Slava Mazur
is a quantitative strategist at Liquidnet, Inc., in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: smazur@liquidnet.com
David Saltz
is the head of quantitative research at Liquidnet, Inc., in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: dsaltz@liquidnet.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.
Don’t have access? Sign up today to begin your trial to the PMR platform 

Abstract

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.

  • Copyright © 2011 Liquidnet, Inc. All rights reserved. Not to be reproduced or redistributed without permission.
View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Trading: 6 (4)
The Journal of Trading
Vol. 6, Issue 4
Fall 2011
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Trading.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Design and Implementation of Schedule-Based TradingStrategies Based on Uncertainty Bands
(Your Name) has sent you a message from The Journal of Trading
(Your Name) thought you would like to see the The Journal of Trading web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Design and Implementation of Schedule-Based Trading
Strategies Based on Uncertainty Bands
Vladimir Markov, Slava Mazur, David Saltz
The Journal of Trading Sep 2011, 6 (4) 45-52; DOI: 10.3905/jot.2011.6.4.045

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Design and Implementation of Schedule-Based Trading
Strategies Based on Uncertainty Bands
Vladimir Markov, Slava Mazur, David Saltz
The Journal of Trading Sep 2011, 6 (4) 45-52; DOI: 10.3905/jot.2011.6.4.045
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • FORMULATION OF THE APPROACH
    • IMPLEMENTATION: CONTINUOUS-TIME APPROACH
    • CONCLUSION
    • ENDNOTE
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Quintet Volume Projection
  • Constant Impact Strategy
  • Block-Crossing Networks and The Value of * Natural Liquidity
  • On the Design of Sell-Side Limit and Market Order Tactics
  • Google Scholar

More in this TOC Section

  • COMMENTARY: Space Unicorns and the Intermarket Trading System: Revisiting Myths
  • COMMENTARY: Commentary on “If Best Execution Is a Process, What Does That Process Look Like?”1
  • COMMENTARY: Beyond the Black Box Revisited: Algorithmic Trading and TCA Analysis Using Excel
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1559-3967 | E-ISSN: 2168-8427

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies