Optimal split of orders across liquidity pools: a stochastic algorithm approach
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Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00422427v3
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- Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2009. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Papers 0910.1166, arXiv.org, revised May 2010.
References listed on IDEAS
- Thierry Foucault & Albert J. Menkveld, 2008.
"Competition for Order Flow and Smart Order Routing Systems,"
Journal of Finance, American Finance Association, vol. 63(1), pages 119-158, February.
- Foucault, Thierry & Menkveld, Albert J., 2006. "Competition for Order Flow and Smart Order Routing Systems," CEPR Discussion Papers 5523, C.E.P.R. Discussion Papers.
- Thierry Foucault & Albert J. Menkveld, 2008. "Competition for Order Flow and Smart Order Routing Systems," Post-Print hal-00459801, HAL.
- Foucault, Thierry & Menkveld, Albert, 2006. "Competition for order flow and smart order routing systems," HEC Research Papers Series 831, HEC Paris.
- Thierry Foucault, 2010. "Competition for Order Flow and Smart Order Routing Systems," Post-Print hal-00554030, HAL.
Citations
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Cited by:
- Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.
- repec:dau:papers:123456789/7390 is not listed on IDEAS
- Florian Klock & Alexander Schied & Yuemeng Sun, 2012. "Price manipulation in a market impact model with dark pool," Papers 1205.4008, arXiv.org, revised May 2014.
- Aim'e Lachapelle & Jean-Michel Lasry & Charles-Albert Lehalle & Pierre-Louis Lions, 2013. "Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis," Papers 1305.6323, arXiv.org, revised Aug 2015.
- Olivier Guéant & Charles-Albert Lehalle, 2015.
"General Intensity Shapes In Optimal Liquidation,"
Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
- Olivier Gu'eant & Charles-Albert Lehalle, 2012. "General Intensity Shapes in Optimal Liquidation," Papers 1204.0148, arXiv.org, revised Jun 2013.
- Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011.
"Optimal Portfolio Liquidation with Limit Orders,"
Papers
1106.3279, arXiv.org, revised Jul 2012.
- Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.
- Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Generalized Optimal Liquidation Problems Across Multiple Trading Venues," Papers 1607.04553, arXiv.org, revised Aug 2017.
- Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Papers 1210.1625, arXiv.org, revised Nov 2014.
- R. Azencott & A. Beri & Y. Gadhyan & N. Joseph & C.-A. Lehalle & M. Rowley, 2014.
"Real-time market microstructure analysis: online transaction cost analysis,"
Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1167-1185, July.
- Robert Azencott & Arjun Beri & Yutheeka Gadhyan & Nicolas Joseph & Charles-Albert Lehalle & Matthew Rowley, 2013. "Realtime market microstructure analysis: online Transaction Cost Analysis," Papers 1302.6363, arXiv.org, revised Mar 2013.
- Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
- Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011.
"Dealing with the Inventory Risk. A solution to the market making problem,"
Papers
1105.3115, arXiv.org, revised Aug 2012.
- Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2013. "Dealing with the Inventory Risk. A solution to the market making problem," Post-Print hal-01393110, HAL.
- Bruno Bouchard & Ngoc-Minh Dang, 2013. "Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation," Finance and Stochastics, Springer, vol. 17(1), pages 31-72, January.
- Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Working Papers hal-00737491, HAL.
- Marc Hoffmann & Mauricio Labadie & Charles-Albert Lehalle & Gilles Pagès & Huyên Pham & Mathieu Rosenbaum, 2013. "Optimization And Statistical Methods For High Frequency Finance," Post-Print hal-01102785, HAL.
- repec:dau:papers:123456789/7391 is not listed on IDEAS
- Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall," Papers 1205.3482, arXiv.org, revised Dec 2013.
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More about this item
Keywords
Asset allocation; Stochastic Lagrangian algorithm; reinforcement principle; monotone dynamic system;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2010-06-11 (Market Microstructure)
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