2 citations · 2 across the 6 of their papers we have counts for
4 papers · 1 filter
Bayesian Trading Cost Analysis and Ranking of Broker Algorithms
Vladimir Markov
We present a formulation of the transaction cost analysis (TCA) in the Bayesian framework for the primary purpose of comparing broker algorithms using standardized benchmarks. Our…
Quintet Volume Projection
Vladimir Markov, Olga Vilenskaia, Vlad Rashkovich
We present a set of models relevant for predicting various aspects of intra-day trading volume for equities and showcase them as an ensemble that projects volume in unison. We intr…
On the design of sell-side limit and market order tactics
Vladimir Markov
This article provides a novel framework to evaluate limit order tactics that highlights expected fill price, adverse price selection cost, and opportunity cost. We formulate the pr…
Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands
Vladimir Markov, Slava Mazur, David Saltz
We propose a design for schedule-based execution trading strategies based on uncertainty bands. This formulation: 1) simplifies strategy specification and implementation; 2) provid…