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Optimal Organisations for Optimal Trading

In: Market Microstructure in Practice

Author

Listed:
  • Charles-Albert Lehalle

    (Capital Fund Management, France)

  • Sophie Laruelle

    (Université Paris-Est Créteil, France)

Abstract

The following sections are included:Organising a Trading Structure to Answer to 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 InvestorBetter understanding on what impacts the priceMarket impact over the trading periodMarket impact on a longer horizon: Different patterns for different investment stylesDependence between investment style and market impact on a monthly horizonOptimal Trading MethodsAlgorithmic trading: Adapting trading style to investors' needsLiquidity seeking algorithms are no longer nice to have

Suggested Citation

  • Charles-Albert Lehalle & Sophie Laruelle, 2013. "Optimal Organisations for Optimal Trading," World Scientific Book Chapters, in: Charles-Albert Lehalle & Sophie Laruelle (ed.), Market Microstructure in Practice, chapter 4, pages 185-220, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814566179_0004
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    Keywords

    Market Microstructure; Finance; Financial Markets; 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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