OR forum: The cost of latency in high-frequency trading

DOI10.1287/OPRE.2013.1165MaRDI QIDQ5166266zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

high-frequency tradingmarket microstructureelectronic markets

Mathematics Subject Classification ID

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

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Cited in

(17)

• The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
• Optimal Execution: A Review
• Profit-based latency problems on the line
• A Stackelberg order execution game
• High frequency trading, liquidity, and execution cost
• Optimal auction duration: a price formation viewpoint
• Optimal execution in Hong Kong given a market-on-close benchmark
• Reducing transaction costs with low-latency trading algorithms
• New evidence on market response to public announcements in the presence of microstructure noise
• Optimal execution with stochastic delay
• Quantifying the high-frequency trading ``arms race
• Liquidity suppliers and high frequency trading
• Latency and liquidity risk
• Optimal market making in the presence of latency
• Investment in high-frequency trading technology: a real options approach
• Optimal execution with dynamic order flow imbalance
• Deep learning for limit order books

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