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...

书目详细资料
Main Authors:	Cartea, A, Jaimungal, S, Sanchez-Betancourt, L
格式:	Journal article
语言:	English
出版:	World Scientific Publishing 2021

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