Determinants of volume in dark pool crossing networks
M Ready - Afa 2010 atlanta meetings paper, 2014 - papers.ssrn.com
I investigate determinants of trading volume for NASDAQ stocks in the two largest “dark
pools” that cater to large institutional trades: Liquidnet and POSIT. I find that these dark pools …
pools” that cater to large institutional trades: Liquidnet and POSIT. I find that these dark pools …
Hedge Funds versus Managed Futures as Asset Classes.
FR Edwards, J Liew - Journal of Derivatives, 1999 - elibrary.ru
Presents information on a study which examined the performance of hedge funds and
managed futures funds during the 1982 to 1996. Performance measures; Hedge funds and …
managed futures funds during the 1982 to 1996. Performance measures; Hedge funds and …
Design and implementation of schedule-based trading strategies based on uncertainty bands
V Markov, S Mazur, D Saltz - arXiv preprint arXiv:1409.1441, 2014 - arxiv.org
We propose a design for schedule-based execution trading strategies based on uncertainty
bands. This formulation: 1) simplifies strategy specification and implementation; 2) provides …
bands. This formulation: 1) simplifies strategy specification and implementation; 2) provides …
Quintet Volume Projection
V Markov, O Vilenskaia, V Rashkovich - arXiv preprint arXiv:1904.01412, 2019 - arxiv.org
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 …
volume for equities and showcase them as an ensemble that projects volume in unison. We …
Modeling market impact and timing risk in volume time
S Mazur - Algorithmic Finance, 2013 - content.iospress.com
Intraday volatility and market impact models in volume time are proposed. We build an
intraday volatility profile to capture non-stationarity of intraday price returns and utilize a …
intraday volatility profile to capture non-stationarity of intraday price returns and utilize a …
Studying different trading techniques and modeling strategies to minimize risks
A Ludhiyani, S Joshi, R Pathak… - … on Computing for …, 2015 - ieeexplore.ieee.org
Studying different trading techniques and modeling strategies to minimize risks Page 1 Studying
Different Trading Techniques and Modeling Strategies to Minimize Risks Arpit Ludhiyani …
Different Trading Techniques and Modeling Strategies to Minimize Risks Arpit Ludhiyani …
Optimal Allocation Across Dark Pools as a Probabilistic Decision Problem
V Glukhov - The Journal of Trading (Retired), 2011 - jot.pm-research.com
A liquidity-conscious trader facing the problem of the efficient execution of a sizable order
these days has a multitude of execution venues ranging from traditional exchanges to MFTs …
these days has a multitude of execution venues ranging from traditional exchanges to MFTs …
[CITATION][C] Studying Different Trading Techniques & Modeling Strategies to Minimize Risks
S Joshi, A Ludhiyani, P Parandkar, S Katiyal