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Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making

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  • Yusuke Morimoto

Abstract

This paper introduces a new algorithmic execution model that integrates interbank limit and market orders with internal liquidity generated through market making. Based on the Cartea et al.\cite{cartea2015algorithmic} framework, we incorporate market impact in interbank orders while excluding it for internal market-making transactions. Our model aims to optimize the balance between interbank and internal liquidity, reducing market impact and improving execution efficiency.

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  • Yusuke Morimoto, 2024. "Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making," Papers 2501.07581, arXiv.org.
    • Handle: RePEc:arx:papers:2501.07581
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