@article {Markov45, author = {Vladimir Markov and Slava Mazur and David Saltz}, title = {Design and Implementation of Schedule-Based TradingStrategies Based on Uncertainty Bands}, volume = {6}, number = {4}, pages = {45--52}, year = {2011}, doi = {10.3905/jot.2011.6.4.045}, publisher = {Institutional Investor Journals Umbrella}, 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.TOPICS: VAR and use of alternative risk measures of trading risk, volatility measures, exchanges/markets/clearinghouses}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/6/4/45}, eprint = {https://jot.pm-research.com/content/6/4/45.full.pdf}, journal = {The Journal of Trading (Retired)} }