Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Charles-Albert Lehalle & Sophie Laruelle (ed.), 2013. "Market Microstructure in Practice," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8967, October.
- Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015. "How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program," Papers 1507.07052, arXiv.org.
- Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011.
"Dealing with the Inventory Risk. A solution to the market making problem,"
Papers
1105.3115, arXiv.org, revised Aug 2012.
- Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2013. "Dealing with the Inventory Risk. A solution to the market making problem," Post-Print hal-01393110, HAL.
- Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle, 2014. "Market impacts and the life cycle of investors orders," Papers 1412.0217, arXiv.org, revised Dec 2014.
- Frédéric Abergel & Jean-Philippe Bouchaud & Thierry Foucault & Mathieu Rosenbaum & Charles-Albert Lehalle, 2012. "Market microstructure: confronting many viewpoints," Post-Print hal-00872398, HAL.
- Bruno Biais & Fany Declerck & Sophie Moinas, 2016.
"Who supplies liquidity, how and when?,"
BIS Working Papers
563, Bank for International Settlements.
- Biais, Bruno & Declerck, Fany & Moinas, Sophie, 2017. "Who supplies liquidity, how and when?," TSE Working Papers 17-818, Toulouse School of Economics (TSE).
- Biais, Bruno & Declerck, Fany & Moinas, Sophie, 2017. "Who supplies liquidity, how and when?," IDEI Working Papers 874, Institut d'Économie Industrielle (IDEI), Toulouse.
- Rama Cont & Adrien de Larrard, 2013. "Price Dynamics in a Markovian Limit Order Market," Post-Print hal-00552252, HAL.
- Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
- Aim'e Lachapelle & Jean-Michel Lasry & Charles-Albert Lehalle & Pierre-Louis Lions, 2013. "Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis," Papers 1305.6323, arXiv.org, revised Aug 2015.
- Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011.
"Optimal Portfolio Liquidation with Limit Orders,"
Papers
1106.3279, arXiv.org, revised Jul 2012.
- Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.
- Alexander Lipton & Umberto Pesavento & Michael G Sotiropoulos, 2013. "Trade arrival dynamics and quote imbalance in a limit order book," Papers 1312.0514, arXiv.org.
- B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer, 2012.
"How does the market react to your order flow?,"
Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1015-1024, May.
- Bence Toth & Zoltan Eisler & Fabrizio Lillo & Julien Kockelkoren & Jean-Philippe Bouchaud & J. Doyne Farmer, 2011. "How does the market react to your order flow?," Papers 1104.0587, arXiv.org, revised May 2012.
- Menkveld, Albert J., 2013.
"High frequency trading and the new market makers,"
Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
- Albert J. Menkveld, 2011. "High Frequency Trading and the New-Market Makers," Tinbergen Institute Discussion Papers 11-076/2/DSF21, Tinbergen Institute, revised 15 Aug 2011.
- Eric Budish & Peter Cramton & John Shim, 2015. "Editor's Choice The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 130(4), pages 1547-1621.
- Daniel Fricke & Austin Gerig, 2018. "Too fast or too slow? Determining the optimal speed of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 18(4), pages 519-532, April.
- Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015.
"Simulating and Analyzing Order Book Data: The Queue-Reactive Model,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 107-122, March.
- Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2013. "Simulating and analyzing order book data: The queue-reactive model," Papers 1312.0563, arXiv.org, revised Sep 2014.
- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Charles-Albert Lehalle & Eyal Neuman, 2019.
"Incorporating signals into optimal trading,"
Finance and Stochastics, Springer, vol. 23(2), pages 275-311, April.
- Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Jun 2018.
- Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.
- Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
- Charles-Albert Lehalle & Eyal Neuman, 2019.
"Incorporating signals into optimal trading,"
Finance and Stochastics, Springer, vol. 23(2), pages 275-311, April.
- Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Jun 2018.
- Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
- Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
- Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
- Kyle Bechler & Michael Ludkovski, 2017. "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers 1708.02715, arXiv.org.
- N Baradel & B Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Working Papers hal-01304019, HAL.
- Philippe Bergault & David Evangelista & Olivier Gu'eant & Douglas Vieira, 2018. "Closed-form approximations in multi-asset market making," Papers 1810.04383, arXiv.org, revised Sep 2022.
- Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015.
"Simulating and Analyzing Order Book Data: The Queue-Reactive Model,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 107-122, March.
- Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2013. "Simulating and analyzing order book data: The queue-reactive model," Papers 1312.0563, arXiv.org, revised Sep 2014.
- Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti & Uno, Jun & Yuferova, Darya, 2017.
"Coming early to the party,"
SAFE Working Paper Series
182, Leibniz Institute for Financial Research SAFE.
- Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
- Hautsch, Nikolaus & Noé, Michael & Zhang, S. Sarah, 2017. "The ambivalent role of high-frequency trading in turbulent market periods," CFS Working Paper Series 580, Center for Financial Studies (CFS).
- N. Baradel & Bruno Bouchard & N. m. Dang, 2016. "Optimal Trading with Online Parameter Revisions," Post-Print hal-01590602, HAL.
- Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
- Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2019. "Optimal make-take fees for market making regulation," Working Papers hal-02379592, HAL.
- Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
- Arifovic, Jasmina & He, Xue-zhong & Wei, Lijian, 2022. "Machine learning and speed in high-frequency trading," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
- Hadrien De March & Charles-Albert Lehalle, 2018.
"Optimal trading using signals,"
Papers
1811.03718, arXiv.org.
- Hadrien de March & Charles-Albert Lehalle, 2019. "Optimal trading using signals," Working Papers hal-02011535, HAL.
- Leal, Sandrine Jacob & Napoletano, Mauro, 2019.
"Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading,"
Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Working Papers hal-03459346, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01512779, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," SciencePo Working papers Main hal-03459346, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent Based Model with Low- and High-Frequency Trading," LEM Papers Series 2016/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01512780, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market stability vs. Market resilience : Regulatory policies experiments in an agent based model with low-and high -frequency trading," Documents de Travail de l'OFCE 2016-12, Observatoire Francais des Conjonctures Economiques (OFCE).
- Sandrine Jacob Leal & Mauro Napoletano, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Post-Print hal-03403589, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Working Papers hal-01512781, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," SciencePo Working papers Main hal-03403589, HAL.
- Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2016-10-09 (Market Microstructure)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1610.00261. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.