Optimal order placement in limit order markets
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References listed on IDEAS
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- Filippo Passerini & Samuel E. Vazquez, 2015. "Optimal Trading with Alpha Predictors," Papers 1501.03756, arXiv.org, revised Jan 2015.
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Keywordsorder routing; limit order book; limit order market; liquidity; optimal order execution; transaction costs; market microstructure;
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