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Quantitative Finance · Glossary

What is Participation band?

Definition 28.1 Microstructure and Execution · Chapter 28 — Build: an Execution Algorithm

A participation band is a lower and an upper limit on an execution algorithm’s share of the market’s volume since the order started: whatever its schedule says, the algorithm trades at least enough to stay above the lower limit and never so much as to go above the upper one.

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