The Optimal Order Execution Problem within the Framework of a High-Frequency Trading - Sample Model
AbstractOptimal execution of large orders is examined within the technical framework of High-Frequency Trading (HFT). A sample model is proposed, which extends an existing strategy through HFT means like time slicing with random splitting of the order volume and time shifting. As this strategy brings some information asymmetry to the trading parties, a general question about its impact on market benefit is raised and proposed for further academic research.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 49081.
Date of creation: 2012
Date of revision:
Publication status: Published in Zeszyty Naukowe Uniwersytetu Szczecińskiego 50.689(2012): pp. 385-390
Optimal order execution; HFT; liquidity;
Find related papers by JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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