Chapter 13: Algorithmic Decision-Making Framework
Introduction
We introduce readers to the algorithmic decision-making framework. The process includes macro- and microlevel decisions specified prior to trading to ensure consistency between the “the trading goal” and the “investment objective.” The macrolevel decision refers to the best execution strategy most consistent with the investment objective. The microlevel decision refers to how the algorithm will behave in real-time and how it will adapt to changing market conditions. Subsequently, it is the goal of the limit order model and smart order router to ensure that order placement and actual executions adhere to the investor's specifications. Only investors who possess full knowledge ...
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