Last look

DOI10.1080/14697688.2016.1262545MaRDI QIDQ4555124zbMATH OpenOpenAlexFDO

Authors Roel C. A. Oomen

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/68811/1/Oomen_Last%20look_2017.pdf

zbMATH Keywords

transaction costsover-the-counter marketslast lookexecution risktrading protocol

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Foreign exchange markets with last look
• Execution in an aggregator
• Optimal execution with stochastic delay
• Optimal Liquidity Trading*
• Latency and liquidity risk

Cites work

• scientific article; zbMATH DE number 794688 (Why is no real title available?)
• Continuous Auctions and Insider Trading
• Execution in an aggregator
• The high-frequency trading arms race: frequent batch auctions as a market design response

Cited in

(7)

• Latency and liquidity risk
• Price signatures
• Internalisation by electronic FX spot dealers
• AI-driven liquidity provision in OTC financial markets
• Last in line
• Foreign exchange markets with last look
• Algorithmic market making in dealer markets with hedging and market impact

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