The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
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Publication:4987716
DOI10.1137/19M1258888zbMath1461.91292MaRDI QIDQ4987716
Leandro Sánchez-Betancourt, Álvaro Cartea
Publication date: 4 May 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Related Items (6)
LATENCY AND LIQUIDITY RISK ⋮ Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed ⋮ Adaptive Robust Control in Continuous Time ⋮ Market making with minimum resting times ⋮ Optimal execution with stochastic delay ⋮ Optimal Execution: A Review
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- OR Forum—The Cost of Latency in High-Frequency Trading
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