Negative selection -- a new performance measure for automated order execution

DOI10.1186/S13362-021-00102-XzbMATH Open1485.91226OpenAlexW3165005760MaRDI QIDQ2138207FDOQ2138207

Authors: Miles Kumaresan, Sanja Lončar, Nataša Krejić 

Publication date: 11 May 2022

Published in: Journal of Mathematics in Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13362-021-00102-x

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zbMATH Keywords

algorithmic tradingperformance measureVWAParrival price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Linear programming (90C05) Applications of mathematical programming (90C90)

Cites Work

• Uniqueness of solution in linear programming
• A model for optimal execution of atomic orders
• Optimal trading of algorithmic orders in a liquidity fragmented market place

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