Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity

DOI10.1007/S10479-019-03150-0MaRDI QIDQ2288912zbMATH OpenOpenAlexWikidataFDO

Authors Edward W. Sun, Timm Kruse, Yi-Ting Chen

Publication date 20 January 2020

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

Full work available at URL https://doi.org/10.1007/s10479-019-03150-0

zbMATH Keywords

algorithmic tradingartificial intelligencedecision analyticsdiscrete optimizationFinTechliquidity

Mathematics Subject Classification ID

Computational methods for problems pertaining to game theory, economics, and finance (91-08) Financial markets (91G15) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• High frequency trading, liquidity, and execution cost
• Market Microstructure Invariance: Empirical Hypotheses
• Optimal execution strategies in limit order books with general shape functions
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Optimal liquidation strategies and their implications
• Price Manipulation and Quasi-Arbitrage
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• Smooth trading with overconfidence and market power
• Systemic risk, financial markets, and performance of financial institutions

Cited in

(4)

• Liquidity drops
• Algorithmic trading efficiency and its impact on market-quality
• Algorithmic market making in dealer markets with hedging and market impact
• Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange

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