ISSN: 2450-7741
eISSN: 2300-4460
OAI
DOI: 10.18276/frfu.2017.89/1-04
Issue archive /
5/2017
Istota optymalizacji wykonywania zleceń oraz zastosowanie wskaźników wpływu na rynek w handlu o wysokiej częstotliwości
(ORDER EXECUTION OPTIMIZATION AND THE USE OF MARKET IMPACT RATIOS IN HIGH-FREQUENCY TRADING)
| Authors: |
Carlos Jorge
Lenczewski Martins
Szkoła Główna Handlowa w Warszawie |
| Keywords: | High-Frequency Trading (HFT) market influence optimization orders |
| Data publikacji całości: | 2017 |
| Page range: | 11 (57-67) |
Abstract
The conception of High-Frequency Trading is related with new issues on the ways of performing transactions. This is especially true in the foreign exchange market, where entities like market makers have their positions open for short periods of time, at the most until the end of the day, and where issues like those regarding portfolio optimization seem to be of less importance. More significant are those matters related with the execution of orders, dependent of such things as strategy aggressiveness, risk aversion or the nominal value of the orders. The aim of this article is to present the essence of order placement and execution optimization of high-frequency trading entities. In addition, a selected market influence ratio will be presented,used as an important guidance tool in the process of order placement and execution optimization.
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