Brokers and informed traders: dealing with toxic flow and extracting trading signals
We derive optimal strategies for an informed trader and a broker. The broker streams bespoke quotes to the informed trader and to a noise trader, and also trades in the lit market. The flow of the noise trader is uninformative and the broker trades with the noise trader at a profit, on average. On t...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2024
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