Reducing transaction costs with low-latency trading algorithms

DOI10.1080/14697688.2016.1151926zbMath1400.91562OpenAlexW2196275733MaRDI QIDQ4554514

Sasha Stoikov, Rolf Waeber

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1151926

zbMATH Keywords

dynamic programmingoptimal stoppingtransaction costsmarket microstructurehigh-frequency tradingalgorithmic tradingoptimal asset liquidationcost of latencytrade execution latency

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

LATENCY AND LIQUIDITY RISK ⋮ Optimal market making in the presence of latency ⋮ Deep learning for limit order books ⋮ The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets

Cites Work

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• Optimal Basket Liquidation for CARA Investors is Deterministic
• A Stochastic Model for Order Book Dynamics
• Optimal execution strategies in limit order books with general shape functions

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