Execution in an aggregator

DOI10.1080/14697688.2016.1201589zbMath1402.91724OpenAlexW2488285888MaRDI QIDQ4555085

Roel C. A. Oomen

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/67454/1/Oomen_Execution%20aggregator_2016.pdf

zbMATH Keywords

aggregationtransaction costsadverse selectionprisoner's dilemmamarket impactliquidity access

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (7)

Foreign exchange markets with last look ⋮ Last look ⋮ AI-driven liquidity provision in OTC financial markets ⋮ Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations ⋮ Trading Foreign Exchange Triplets ⋮ Internalisation by electronic FX spot dealers ⋮ Price signatures

Cites Work

• Continuous Auctions and Insider Trading
• Limit Theorems for the Maximum Term in Stationary Sequences

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