OR forum: The cost of latency in high-frequency trading
From MaRDI portal
Publication:5166266
DOI10.1287/OPRE.2013.1165zbMATH Open1296.91294OpenAlexW2129651828MaRDI QIDQ5166266FDOQ5166266
Authors: Ciamac C. Moallemi, Mehmet Sağlam 
Publication date: 26 June 2014
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2013.1165
Recommendations
Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)
Cited In (17)
- Optimal auction duration: a price formation viewpoint
- Optimal execution with stochastic delay
- High frequency trading, liquidity, and execution cost
- Latency and liquidity risk
- Optimal Execution: A Review
- Investment in high-frequency trading technology: a real options approach
- Quantifying the high-frequency trading ``arms race
- Liquidity suppliers and high frequency trading
- Profit-based latency problems on the line
- The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
- Optimal execution in Hong Kong given a market-on-close benchmark
- Reducing transaction costs with low-latency trading algorithms
- Deep learning for limit order books
- Optimal execution with dynamic order flow imbalance
- Optimal market making in the presence of latency
- New evidence on market response to public announcements in the presence of microstructure noise
- A Stackelberg order execution game
This page was built for publication: OR forum: The cost of latency in high-frequency trading
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5166266)
