Optimal algorithmic trading and market microstructure
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- Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino, 2017. "Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment--Empirical Study in the Japanese Stock Market--," CIRJE F-Series CIRJE-F-1052, CIRJE, Faculty of Economics, University of Tokyo.
- Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino, 2017. "Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-," CARF F-Series CARF-F-411, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
More about this item
Keywordsquantitative finance; optimal trading; algorithmic trading; systematic trading; market microstructure;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-14 (All new papers)
- NEP-CMP-2011-05-14 (Computational Economics)
- NEP-MST-2011-05-14 (Market Microstructure)
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