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BMO Capital Markets - Quantitative Execution Services
 
Quantitative Execution Services
Single Stock Strategies

Single stock strategies apply to stock on a stock by stock basis. The strategies can be applied on a basket of stocks but each individual name is treated in isolation.

Strategy Description
VWAP Trades over specified time horizon using historical volume distribution
Work It Actively or passively participates, grabbing liquidity at 'I would' level
Time Slice Slices trades over specified time horizon
Volume Participation Participates at specified percentage of market volume with option to ignore block volume and dynamically increase/decrease participation rate based on stock or index movement
Pegging Pegs stock to some relation to the bid/offer
Arrival Price Targets the arrival price by skewing volume profile towards arrival time and trading aggressively when in-the-money
Closing Price Targets the closing price by skewing volume profile towards close and taking advantage of the MOC facility
Please contact Quantitative Execution Services (416) 359-5743 if you have any questions

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