Latency and liquidity risk
Latency (i.e. time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity, takers process information and send marketable limit orders (MLOs) to the exchange, the limit order book (LOB) might undergo updates, so there is no guarantee that MLOs are...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
World Scientific Publishing
2021
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