Effective Trade Execution
AbstractThis paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are examined together with an intuitive description of the implied dynamics of the order book conditional to special orders (iceberg and hidden). The chapter provides an analysis of the transaction costs associated with trading activity and examines the most common trading strategy employed in the market. It also examines optimal execution strategy with the description of the Efficient Trading Frontier. These concepts represent the tools needed to understand the most recent innovations in financial markets and the most recent advances in microstructures research.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1206.5324.
Date of creation: Jun 2012
Date of revision:
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Web page: http://arxiv.org/
Other versions of this item:
- R. Cesari & M. Marzo & P. Zagaglia, 2012. "Effective Trade Execution," Working Papers wp836, Dipartimento Scienze Economiche, Universita' di Bologna.
- Riccardo Cesari & Massimiliano Marzo & Paolo Zagaglia, 2012. "Effective Trade Execution," Working Paper Series 41_12, The Rimini Centre for Economic Analysis.
- Cesari, Riccardo & Marzo, Massimiliano & Zagaglia, Paolo, 2012. "Effective Trade Execution," MPRA Paper 39619, University Library of Munich, Germany.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G19 - Financial Economics - - General Financial Markets - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-08 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Albert J. Menkveld & Boyan Jovanovic, 2010. "Middlemen in Limit Order Markets," 2010 Meeting Papers 955, Society for Economic Dynamics.
- Jim Gatheral & Alexander Schied, 2011. "Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 353-368.
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