The shadow price of latency: improving intraday fill ratios in foreign exchange markets
Latency is the time delay between an exchange streaming market data to a trader, the trader processing information and deciding to trade, and the exchange receiving the order from the trader. Liquidity takers face a moving target problem as a consequence of their latency in the marketplace. They sen...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2021
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