Enhancing trading strategies with order book signals

DOI10.1080/1350486X.2018.1434009zbMath1418.91454OpenAlexW3122879523WikidataQ130201194 ScholiaQ130201194MaRDI QIDQ4559323

Sebastian Jaimungal, Ryan Donnelly, Álvaro Cartea

Publication date: 3 December 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2018.1434009

zbMATH Keywords

adverse selectionhigh-frequency tradingmarket makingalgorithmic tradingorder floworder imbalance

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (19)

A continuous and efficient fundamental price on the discrete order book grid ⋮ Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks ⋮ State-dependent Hawkes processes and their application to limit order book modelling ⋮ Optimal trade execution for Gaussian signals with power-law resilience ⋮ On detecting spoofing strategies in high-frequency trading ⋮ Cross-impact of order flow imbalance in equity markets ⋮ A Mean-Field Game of Market-Making against Strategic Traders ⋮ A data-driven deep learning approach for options market making ⋮ Spoofing and Price Manipulation in Order-Driven Markets ⋮ Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models ⋮ Mean-Field Game Strategies for Optimal Execution ⋮ MARKET MAKING WITH ALPHA SIGNALS ⋮ Price Impact Without Averaging ⋮ A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics ⋮ A Closed-Form Execution Strategy to Target Volume Weighted Average Price ⋮ Deep learning for limit order books ⋮ Market making with minimum resting times ⋮ Order scoring, bandit learning and order cancellations ⋮ Optimal Execution: A Review

Cites Work

• Incorporating order-flow into optimal execution
• A Closed-Form Execution Strategy to Target Volume Weighted Average Price
• Buy Low, Sell High: A High Frequency Trading Perspective
• Optimal Execution with Dynamic Order Flow Imbalance
• High-frequency trading in a limit order book
• Algorithmic Trading with Model Uncertainty
• RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
• Simulating and Analyzing Order Book Data: The Queue-Reactive Model
• Optimal high-frequency trading with limit and market orders

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