Order Placement Strategy: Trade-off between Market Impact and Non-Execution Risk
<strong>Objective: </strong>This contribution proposes an order placement strategy which can be run on simulating continuous financial markets, within an agent-based model framework. <br /><strong>Methods: </strong>In order to improve the efficiency of price discovery,...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2018-06-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_67696_276a706243a94ba5c0a01055b79f4082.pdf |