Optimal trading of algorithmic orders in a liquidity fragmented market place
DOI10.1007/S10479-015-1815-7zbMATH Open1318.90066OpenAlexW2029718075MaRDI QIDQ492830FDOQ492830
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
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nonlinear programmingprice impactalgorithmic tradingfill probabilitymultiple trading venuesoptimal execution strategy
Applications of mathematical programming (90C90) Case-oriented studies in operations research (90B90) Nonlinear programming (90C30)
Cites Work
- The price impact of order book events: market orders, limit orders and cancellations
- Optimal Execution in a General One-Sided Limit-Order Book
- High-frequency trading in a limit order book
- Fluctuations and response in financial markets: the subtle nature of `random' price changes
- Optimal execution strategies in limit order books with general shape functions
- Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal control of trading algorithms: a general impulse control approach
- A model for optimal execution of atomic orders
- High frequency trading, liquidity, and execution cost
- Dynamic liquidation under market impact
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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