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...

Fuld beskrivelse

Bibliografiske detaljer
Main Authors:	Cartea, A, Jaimungal, S, Sanchez-Betancourt, L
Format:	Journal article
Sprog:	English
Udgivet:	World Scientific Publishing 2021

Lignende værker

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

Conditionally elicitable dynamic risk measures for deep reinforcement learning
af: Coache, A, et al.
Udgivet: (2023)

Hedging nontradable risks with transaction costs and price impact
af: Cartea, A, et al.
Udgivet: (2020)

Irreversible investments and ambiguity aversion
af: Cartea, Á, et al.
Udgivet: (2017)

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

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

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

Trading foreign exchange triplets
af: Cartea, A, et al.
Udgivet: (2020)

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

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

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

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

Algorithmic trading with model uncertainty
af: Cartea, A, et al.
Udgivet: (2017)

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

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

Algorithmic trading with learning
af: Cartea, A, et al.
Udgivet: (2016)

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

Model uncertainty in commodity markets
af: Cartea, Á, et al.
Udgivet: (2016)

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

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

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

Brokers and informed traders: dealing with toxic flow and extracting trading signals
af: Cartea, A, et al.
Udgivet: (2024)

Optimal execution with stochastic delay
af: Cartea, A, et al.
Udgivet: (2022)

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

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

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

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

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

Without Latency
af: Hulbert, Adam
Udgivet: (2015-09-01)

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

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

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

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

New biomarkers of latency
af: Christina Psomas
Udgivet: (2018-05-01)

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

Latency of Modern Vandalism
af: Карина Анатоліївна Бочарова
Udgivet: (2017-03-01)

Latency strategies of herpesviruses /
af: 180524 Minarovits,Janos, et al.
Udgivet: (2007)

Gumbrecht: latency in history
af: José Luís Jobim
Udgivet: (2013-07-01)

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

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