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Optimal Organizations for Optimal Trading

In: Market Microstructure in Practice

Author

Listed:
  • Charles-Albert Lehalle
  • Sophie Laruelle

Abstract

The following sections are included:Organizing a Trading Structure to Answer a Fragmented LandscapeMain inputs of trading toolsComponents of trading algorithmsMain outputs of an automated trading systemMarket Impact Measurements: Understanding the Price Formation Process from the Viewpoint of One InvestorMarket impact over the trading periodMarket impact on a longer horizon: Price anticipation and permanent market impactThe Price Formation Process and Orderbooks DynamicsInformation reaching orderbooksUnderstanding via conditioningConclusion on orderbook dynamicsOptimal Trading MethodsAlgorithmic trading: Adapting trading style to investors’ needsLiquidity-seeking algorithms are no longer nice to haveConclusion on optimal trading

Suggested Citation

  • Charles-Albert Lehalle & Sophie Laruelle, 2018. "Optimal Organizations for Optimal Trading," World Scientific Book Chapters, in: Charles-Albert Lehalle & Sophie Laruelle (ed.), Market Microstructure in Practice, chapter 3, pages 193-246, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813231139_0003
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    Keywords

    Market Microstructure; Finance; Financial Markets; Market Liquidity; Financial Regulation; MiFID; Reg NMS; ESMA;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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