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...

書誌詳細
主要な著者:	Cartea, A, Jaimungal, S, Sanchez-Betancourt, L
フォーマット:	Journal article
言語:	English
出版事項:	World Scientific Publishing 2021

類似資料

The shadow price of latency: improving intraday fill ratios in foreign exchange markets
著者:: Cartea, Á, 等
出版事項: (2021)

Conditionally elicitable dynamic risk measures for deep reinforcement learning
著者:: Coache, A, 等
出版事項: (2023)

Hedging nontradable risks with transaction costs and price impact
著者:: Cartea, A, 等
出版事項: (2020)

Irreversible investments and ambiguity aversion
著者:: Cartea, Á, 等
出版事項: (2017)

Algorithmic trading of co-integrated assets
著者:: Cartea, A, 等
出版事項: (2016)

Incorporating order-flow into optimal execution
著者:: Cartea, A, 等
出版事項: (2016)

A closed-form execution strategy to target VWAP
著者:: Cartea, A, 等
出版事項: (2016)

Trading foreign exchange triplets
著者:: Cartea, A, 等
出版事項: (2020)

Trading co‐integrated assets with price impact
著者:: Cartea, A, 等
出版事項: (2018)

Hedge and speculate: replicating option payoffs with limit and market orders
著者:: Cartea, A, 等
出版事項: (2019)

Spoofing and price manipulation in order-driven markets
著者:: Cartea, Á, 等
出版事項: (2020)

Speculative trading of electricity contracts in interconnected locations
著者:: Cartea, A, 等
出版事項: (2018)

Algorithmic trading with model uncertainty
著者:: Cartea, A, 等
出版事項: (2017)

Enhancing trading strategies with order book signals
著者:: Cartea, Á, 等
出版事項: (2018)

Foreign exchange markets with last look
著者:: Cartea, A, 等
出版事項: (2018)

Algorithmic trading with learning
著者:: Cartea, A, 等
出版事項: (2016)

Algorithmic and high-frequency trading
著者:: Cartea, Á, 等
出版事項: (2015)

Model uncertainty in commodity markets
著者:: Cartea, Á, 等
出版事項: (2016)

Trading strategies within the edges of no-arbitrage
著者:: Cartea, Á, 等
出版事項: (2018)

Algorithmic trading, stochastic control, and mutually exciting processes
著者:: Cartea, À, 等
出版事項: (2018)

Minimal Kullback-Leibler divergence for constrained Lévy-Itô processes
著者:: Jaimungal, S, 等
出版事項: (2024)

Brokers and informed traders: dealing with toxic flow and extracting trading signals
著者:: Cartea, A, 等
出版事項: (2024)

Optimal execution with stochastic delay
著者:: Cartea, A, 等
出版事項: (2022)

Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets
著者:: Cartea, A, 等
出版事項: (2023)

Lévy-Ito models in finance
著者:: Bouzianis, G, 等
出版事項: (2021)

Double-execution strategies using path signatures
著者:: Cartea, Á, 等
出版事項: (2022)

New Concepts in Therapeutic Manipulation of HIV-1 Transcription and Latency: Latency Reversal versus Latency Prevention
著者:: Catherine A. Lewis, 等
出版事項: (2023-07-01)

AI-driven liquidity provision in OTC financial markets
著者:: Cartea, Á, 等
出版事項: (2022)

Without Latency
著者:: Hulbert, Adam
出版事項: (2015-09-01)

Low-Latency Networking: Where Latency Lurks and How to Tame It
著者:: Modiano, Eytan H
出版事項: (2020)

Terminal latency index, residual latency, and median-ulnar F-wave latency difference in carpal tunnel syndrome
著者:: Aslihan Uzunkulaoglu, 等
出版事項: (2019-01-01)

Identification of Host Biomarkers of Epstein-Barr Virus Latency IIb and Latency III
著者:: Joshua E. Messinger, 等
出版事項: (2019-08-01)

Latency period of PROM at term and the risk of neonatal infectious diseases
著者:: Lu Zhuang, 等
出版事項: (2022-07-01)

New biomarkers of latency
著者:: Christina Psomas
出版事項: (2018-05-01)

Unsupervised, low latency
著者:: Jayaram Raghuram, 等
出版事項: (2014-07-01)

Latency of Modern Vandalism
著者:: Карина Анатоліївна Бочарова
出版事項: (2017-03-01)

Latency strategies of herpesviruses /
著者:: 180524 Minarovits,Janos, 等
出版事項: (2007)

Gumbrecht: latency in history
著者:: José Luís Jobim
出版事項: (2013-07-01)

Editorial: The relevance of molecular mechanisms in HIV-1 latency and reactivation from latency
著者:: Alexander O. Pasternak, 等
出版事項: (2023-04-01)

Statistical predictions of trading strategies in electronic markets
著者:: Cartea, Á, 等
出版事項: (2024)