RT Journal Article SR Electronic T1 Market ability Filters in Spread Execution
Trading Algorithms JF The Journal of Trading FD Institutional Investor Journals SP 51 OP 58 DO 10.3905/jot.2014.9.2.051 VO 9 IS 2 A1 Iaryna Grynkiv A1 Lada Kyj A1 Tim Garrett YR 2014 UL https://pm-research.com/content/9/2/51.abstract AB 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