High frequency trading, liquidity, and execution cost

DOI10.1007/s10479-013-1382-8zbMath1306.90099OpenAlexW2064143222MaRDI QIDQ2259047

Timm Kruse, Edward W. Sun, Min-Teh Yu

Publication date: 27 February 2015

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-013-1382-8

zbMATH Keywords

discrete optimizationliquidityprice impactoptimal executionhigh frequency trading

Mathematics Subject Classification ID

Integer programming (90C10) Trade models (91B60)

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Cites Work

• Price Manipulation and Quasi-Arbitrage