Optimal trading of algorithmic orders in a liquidity fragmented market place

DOI10.1007/S10479-015-1815-7MaRDI QIDQ492830zbMATH OpenOpenAlexFDO

Authors Miles Kumaresan, Nataša Krejić

Publication date 21 August 2015

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

Full work available at URL https://doi.org/10.1007/s10479-015-1815-7

zbMATH Keywords

nonlinear programmingprice impactalgorithmic tradingfill probabilitymultiple trading venuesoptimal execution strategy

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Case-oriented studies in operations research (90B90) Nonlinear programming (90C30)

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Cites work

• A model for optimal execution of atomic orders
• Dynamic liquidation under market impact
• Fluctuations and response in financial markets: the subtle nature of `random' price changes
• High frequency trading, liquidity, and execution cost
• High-frequency trading in a limit order book
• Optimal Execution in a General One-Sided Limit-Order Book
• Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
• Optimal control of trading algorithms: a general impulse control approach
• Optimal execution strategies in limit order books with general shape functions
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• The price impact of order book events: market orders, limit orders and cancellations

Cited in

(6)

• Negative selection -- a new performance measure for automated order execution
• Optimal trade execution and price manipulation in order books with time-varying liquidity
• Optimal Order Scheduling for Deterministic Liquidity Patterns
• Algorithmic trading for online portfolio selection under limited market liquidity
• The rise of the machines in commodities markets: new evidence obtained using strongly typed genetic programming
• Algorithmic market making in dealer markets with hedging and market impact

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