2 papers
q-fin.TR2014
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…
q-fin.TR2014
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…