OR Forum—The Cost of Latency in High-Frequency Trading

DOI10.1287/opre.2013.1165zbMath1296.91294OpenAlexW2129651828MaRDI QIDQ5166266

Mehmet Sağlam, Ciamac Cyrus Moallemi

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

zbMATH Keywords

market microstructurehigh-frequency tradingelectronic markets

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Related Items (11)

Optimal Auction Duration: A Price Formation Viewpoint ⋮ Optimal Execution with Dynamic Order Flow Imbalance ⋮ LATENCY AND LIQUIDITY RISK ⋮ Optimal execution in Hong Kong given a market-on-close benchmark ⋮ Optimal market making in the presence of latency ⋮ Deep learning for limit order books ⋮ The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets ⋮ New evidence on market response to public announcements in the presence of microstructure noise ⋮ Liquidity Suppliers and High Frequency Trading ⋮ Optimal execution with stochastic delay ⋮ Optimal Execution: A Review

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