Cesari, Riccardo and Marzo, Massimiliano and Zagaglia, Paolo (2012): Effective Trade Execution. Forthcoming in:
Download (612kB) | Preview
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are examined together with an intuitive description of the implied dynamics of the order book conditional to special orders (iceberg and hidden). The chapter provides an analysis of the transaction costs associated with trading activity and examines the most common trading strategy employed in the market. It also examines optimal execution strategy with the description of the Efficient Trading Frontier. These concepts represent the tools needed to understand the most recent innovations in financial markets and the most recent advances in microstructures research.
|Item Type:||MPRA Paper|
|Original Title:||Effective Trade Execution|
|Keywords:||order book; price impact; execution strategy; high frequency trading|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G19 - Other
|Depositing User:||Paolo Zagaglia|
|Date Deposited:||23. Jun 2012 07:00|
|Last Modified:||17. May 2015 22:55|
Almgren, Robert. 2012. “Optimal Trading with Stochastic Liquidity and Volatility.” SIAM Journal of Financial Mathematics 3: 163–181.
Almgren, Robert, and Neill Chriss. 2000. “Optimal Execution of Portfolio Transactions.” Journal of Risk 3(2): 5-39.
Biais, Bruno, Thierry Foucault, and Sophie Moinas. 2010. “Equilibrium Algorithmic Trading.” Working Paper, Toulouse School of Economics, Toulouse, France.
Brogaard, Jonathan A. 2010. “High Frequency Trading and Its Impact on Market Quality.” Working Paper, Kellogg School of Management, Northwestern University, Evanston, IL.
Gatheral, Jim, and Alexander Schied. 2011. “Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework.” International Journal of Theoretical and Applied Finance 14(3): 353-68.
Gomber, Peter, Bjöern Arndt, Marco Lutat, and Tim Uhle. 2011. “High-Frequency Trading: A European Perspective.” HoF Quarterly 2: 9–10.
Jovanovic, Boyan, and Albert J. Menkveld. 2010. “Middlemen in Limit Order Markets.” Working Paper, New York University, New York.
Kissel, Robert, and Roberto Malamut. 2006. “Algorithmic Decision-Making Framework.” Institutional Investor: Guide to Algorithmic Trading. Spring: 81-91.