Choosing trading strategies in electronic execution using importance sampling
The sampling technique is more efficient than A-B testing at comparing decision rules
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Quants often need to develop algorithmic decision rules for selecting execution strategies based on trade characteristics. While A-B testing is commonly used to evaluate potential decision rules, it can be inefficient and limited in comparing multiple rules. In this paper, Stuart Baumann demonstrates how importance sampling can provide a more efficient method for comparing and fine-tuning decision rules
Electronic execution desks at banks offer a large number of
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