Model-Free Passive Execution via Order-Level Shadowing
A simpler way to place trades by copying what others are already doing
A new trading algorithm called Shadow-PPOV places orders by simply mimicking other traders' behavior rather than relying on predictions or models. Tested on a year of stock index futures data, it achieves competitive execution quality without needing to forecast prices or analyze market conditions — it just follows what it observes.
Trading algorithms currently require complex models to decide where and when to place orders, creating opportunities for errors and unexpected costs. A model-free approach that works equally well means traders can execute large orders more reliably and with less computational overhead, while also providing a clearer baseline for measuring whether fancy prediction models actually deliver better results than simple observation.