Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
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
- © 2014 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Log in using your username and password
In this issue
Trading Algorithms
Jump to section
Similar Articles
Cited By...
- No citing articles found.