Latency and liquidity risk

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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Cartea, A, Jaimungal, S, Sanchez-Betancourt, L
Fformat:	Journal article
Iaith:	English
Cyhoeddwyd:	World Scientific Publishing 2021

Eitemau Tebyg

The shadow price of latency: improving intraday fill ratios in foreign exchange markets
gan: Cartea, Á, et al.
Cyhoeddwyd: (2021)

Conditionally elicitable dynamic risk measures for deep reinforcement learning
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Hedging nontradable risks with transaction costs and price impact
gan: Cartea, A, et al.
Cyhoeddwyd: (2020)

Irreversible investments and ambiguity aversion
gan: Cartea, Á, et al.
Cyhoeddwyd: (2017)

Algorithmic trading of co-integrated assets
gan: Cartea, A, et al.
Cyhoeddwyd: (2016)

Incorporating order-flow into optimal execution
gan: Cartea, A, et al.
Cyhoeddwyd: (2016)

A closed-form execution strategy to target VWAP
gan: Cartea, A, et al.
Cyhoeddwyd: (2016)

Trading foreign exchange triplets
gan: Cartea, A, et al.
Cyhoeddwyd: (2020)

Trading co‐integrated assets with price impact
gan: Cartea, A, et al.
Cyhoeddwyd: (2018)

Hedge and speculate: replicating option payoffs with limit and market orders
gan: Cartea, A, et al.
Cyhoeddwyd: (2019)

Spoofing and price manipulation in order-driven markets
gan: Cartea, Á, et al.
Cyhoeddwyd: (2020)

Speculative trading of electricity contracts in interconnected locations
gan: Cartea, A, et al.
Cyhoeddwyd: (2018)

Algorithmic trading with model uncertainty
gan: Cartea, A, et al.
Cyhoeddwyd: (2017)

Enhancing trading strategies with order book signals
gan: Cartea, Á, et al.
Cyhoeddwyd: (2018)

Foreign exchange markets with last look
gan: Cartea, A, et al.
Cyhoeddwyd: (2018)

Algorithmic trading with learning
gan: Cartea, A, et al.
Cyhoeddwyd: (2016)

Algorithmic and high-frequency trading
gan: Cartea, Á, et al.
Cyhoeddwyd: (2015)

Model uncertainty in commodity markets
gan: Cartea, Á, et al.
Cyhoeddwyd: (2016)

Trading strategies within the edges of no-arbitrage
gan: Cartea, Á, et al.
Cyhoeddwyd: (2018)

Algorithmic trading, stochastic control, and mutually exciting processes
gan: Cartea, À, et al.
Cyhoeddwyd: (2018)

Minimal Kullback-Leibler divergence for constrained Lévy-Itô processes
gan: Jaimungal, S, et al.
Cyhoeddwyd: (2024)

Brokers and informed traders: dealing with toxic flow and extracting trading signals
gan: Cartea, A, et al.
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Optimal execution with stochastic delay
gan: Cartea, A, et al.
Cyhoeddwyd: (2022)

Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets
gan: Cartea, A, et al.
Cyhoeddwyd: (2023)

Lévy-Ito models in finance
gan: Bouzianis, G, et al.
Cyhoeddwyd: (2021)

Double-execution strategies using path signatures
gan: Cartea, Á, et al.
Cyhoeddwyd: (2022)

New Concepts in Therapeutic Manipulation of HIV-1 Transcription and Latency: Latency Reversal versus Latency Prevention
gan: Catherine A. Lewis, et al.
Cyhoeddwyd: (2023-07-01)

AI-driven liquidity provision in OTC financial markets
gan: Cartea, Á, et al.
Cyhoeddwyd: (2022)

Without Latency
gan: Hulbert, Adam
Cyhoeddwyd: (2015-09-01)

Low-Latency Networking: Where Latency Lurks and How to Tame It
gan: Modiano, Eytan H
Cyhoeddwyd: (2020)

Terminal latency index, residual latency, and median-ulnar F-wave latency difference in carpal tunnel syndrome
gan: Aslihan Uzunkulaoglu, et al.
Cyhoeddwyd: (2019-01-01)

Identification of Host Biomarkers of Epstein-Barr Virus Latency IIb and Latency III
gan: Joshua E. Messinger, et al.
Cyhoeddwyd: (2019-08-01)

Latency period of PROM at term and the risk of neonatal infectious diseases
gan: Lu Zhuang, et al.
Cyhoeddwyd: (2022-07-01)

New biomarkers of latency
gan: Christina Psomas
Cyhoeddwyd: (2018-05-01)

Unsupervised, low latency
gan: Jayaram Raghuram, et al.
Cyhoeddwyd: (2014-07-01)

Latency of Modern Vandalism
gan: Карина Анатоліївна Бочарова
Cyhoeddwyd: (2017-03-01)

Latency strategies of herpesviruses /
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Gumbrecht: latency in history
gan: José Luís Jobim
Cyhoeddwyd: (2013-07-01)

Editorial: The relevance of molecular mechanisms in HIV-1 latency and reactivation from latency
gan: Alexander O. Pasternak, et al.
Cyhoeddwyd: (2023-04-01)

Statistical predictions of trading strategies in electronic markets
gan: Cartea, Á, et al.
Cyhoeddwyd: (2024)