{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

algosel - Algorithm Selection A Quantitative Approach JIAN...

Info iconThis preview shows pages 1–3. Sign up to view the full content.

View Full Document Right Arrow Icon
Algorithm Selection: A Quantitative Approach J IAN Y ANG AND B RETT J IU April 25, 2006 Abstract 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 vari- ous algorithms. We demonstrate the applicability of the quantitative model using historical data from orders executed through ITG Algorithms. B RETT J IU is a senior research analyst at ITG Solutions Network, Inc., 44 Farnsworth Street, Boston MA 02210, Tel: (617)-692-6741; E-mail: bjiu @itginc.com J IAN Y ANG is a senior vice president at ITG Solutions Network, Inc., 44 Farnsworth Street, Boston MA 02210, Tel: (617)-692-6860; E-mail: [email protected] The authors wish to thank Milan Borkovec, Gabe Butler, Vitaly Serbin, Xiangyang Wang, James Wong, Henry Yegerman and Ian Domowitz all of ITG Inc., as well as Yingchuan Wang for their support and comments. The information contained herein is for informational purposes only. Nothing herein is investment advice as de- fined by the Investment Advisers Act of 1940. ITG Inc. does not guarantee its accuracy or completeness and ITG Inc. does not make any warranties regarding results from usage. Any opinions expressed herein reflect the judgment of the authors at the time of publication and are subject to change without notice and may not reflect the opinion of ITG Inc. This communication is neither an offer to sell nor a solicitation of an offer to buy any security or financial instrument in any jurisdiction where such offer or solicitation would be illegal. All trademarks not owned by ITG are owned by their respective owners. © 2006, ITG Inc. Member NASD, SIPC. All rights reserved. Compliance #22206-64331
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon