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

DOI10.1186/S13362-021-00102-XMaRDI QIDQ2138207zbMATH OpenOpenAlexFDO

Authors Miles Kumaresan, Sanja Lončar, Nataša Krejić

Publication date 11 May 2022

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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Cites work

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

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