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The Optimal Order Execution Problem within the Framework of a High-Frequency Trading - Sample Model

Bławat, Bogusław (2012): The Optimal Order Execution Problem within the Framework of a High-Frequency Trading - Sample Model. Published in: Zeszyty Naukowe Uniwersytetu Szczecińskiego , Vol. 689, No. 50 (2012): pp. 385-390.

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Abstract

Optimal execution of large orders is examined within the technical framework of High-Frequency Trading (HFT). A sample model is proposed, which extends an existing strategy through HFT means like time slicing with random splitting of the order volume and time shifting. As this strategy brings some information asymmetry to the trading parties, a general question about its impact on market benefit is raised and proposed for further academic research.

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