英文标题：
《Design and Implementation of Schedule-Based Trading Strategies Based on
Uncertainty Bands》
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作者：
Vladimir Markov, Slava Mazur, and David Saltz
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最新提交年份：
2014
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英文摘要：
We propose a design for schedule-based execution 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.
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中文摘要：
我们提出了一种基于不确定性带的基于时间表的执行交易策略的设计。这种表述：1）简化了战略的制定和实施；2） 在被动、机会主义、攻击性和暗池交叉执行策略之间提供灵活的分配；3） 随着新的优化方法、调度技术、阿尔法模型和执行策略的开发，允许快速增强；4）产生宏观（战略）和微观（战术）层面的信息，很容易发布到交易数据库和前端应用程序。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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