PT  - JOURNAL ARTICLE
AU  - Jian Yang
AU  - Brett Jiu
TI  - Algorithm Selection
DP  - 2006 Mar 20
TA  - Trading
PG  - 26--34
VI  - 2006
IP  - 1
4099  - http://guides.pm-research.com/content/2006/1/26.short
4100  - http://guides.pm-research.com/content/2006/1/26.full
AB  - The widespread use of algorithmic trading has led to the question of whether the most suitable algorithm is always being used. We propose a practical framework to help traders qualitatively characterize algorithms as well as quantitatively evaluate comparative performance among various algorithms. We demonstrate the applicability of the quantitative model using historical data from orders executed through ITG Algorithms.