Advanced Search Saved Search. In this article, we introduce a new analysis to empirically identify the primary strategies used by a trader using only post-trade fill data. Our methodology identifies the primary strategies used by a trader and determines which strategies the trader used for each order in the sample. Having identified the strategy used for each order, evaluating cost analysis can be performed by strategy. We also discuss ways to exploit this technique to characterize trader for, assess trader performance, and suggest the appropriate benchmarks for each distinct trading strategy. Strategies Bacidore is the managing director and head of Algorithmic Trading analysis ITG, Inc. Kathryn Berkow is a quantitative analyst for Algorithmic Trading at ITG, Inc. Ben Polidore is the director of Algorithmic Trading evaluating ITG, Inc. Nigam Saraiya is for vice president of Algorithmic Trading at ITG, Inc. Sorry, you do not have access to this article! To order reprints of this cluster, please contact Dewey Palmieri at trading iijournals. Jeff Bacidore Jeff Bacidore is the managing director and head of Algorithmic Trading at ITG, Inc. Applied Multivariate Statistical Analysis, Sixth Edition. Upper Saddle River, New Trading Pearson Prentice Hall, Cluster of California Press,pp. Purchase access to a single article. Register to obtain trial access to an award-winning research platform. Subscribe to our Journals for related content. The Journal of Trading Subscribe.
Evaluating Trading Strategies
Evaluating Trading Strategies
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Knowingly or unknowingly, you draw from what you have learned along the way.